What do you mean with an icon for your desktop? A menu entry? A shortcut?
I suppose you want a .desktop file:
1- Open a text editor an write something like this:
[Desktop Entry]
Version=3.2.0.102
Encoding=UTF-8
Name=phex
Comment=Free file sharing program running on the Gnutella Network.
Exec=java -jar /path/to/phex.jar
Icon=/PATH/TO/ICON
Terminal=false
Type=Application
Categories=Application;Network
StartupNotify=true

3- save the file with name phex.desktop
4- place the file in your desktop folder and you will have a nice shortcut in your desktop
5- for a menu entry you have to look in the internet. (you have to put those .desktop file in some specific location)

btw, you've edited my quote... :P