Desktop shortcut means an 'Icon' or a 'keyboard combination' like CRTL_ALT_Backspace
?
Adding an application is quite simple (out of my head): From the KDE-Menu, click configure panel -> add application -> old program
In case you start LW via the jre, choose the jre in /usr/java/where_it_is
on the next tab, add the command line entries (something like -cp /opt/LW RunLimeWire)
...select a nice icon...thats it