First, I would recommend that you always create a new GPO for each “setting” you want to control and always leave your “Default Domain Policy” in its original form.
To add the shortcut to all users desktop, you will need to open group policy manager and right click on your domain name. Select “Create and Link a GPO Here” and name it something easy to identify like “Internet Explorer Customizations”.
Right click on the new GPO and select “Edit”. When your GPO Editor windows opens expand to “User Configuration/Windows Settings/Internet Explorer Maintenance/URLs”. Double click “Favorites and Links”.
Select “Favorites” and click “Add URL”.
Name it whatever you would like and type file:C:Documents and SettingsAll UsersDesktop into to the URL: field.
Select OK and you’re finished.
If you don’t want to wait for GP to auto-update and want to immediately test the policy, you can type “gpupdate /force” into the Run box on a
client PC and verify.
If you don’t have Group Policy Management Console, you can download it from MS here.