<p>I have developed a Windows CE 4.2 Application in VS 2003. When i deploy the CAB file in the device having X86 has its processor, a short cut for the application is created in Start >> Program >> Application. But I want a short cut for the application on the 
desktop.</p>

<p>I modified the INF file to add a new shortcut that points to the desktop folder inside windows folder but it didn't work. Also, If i replace the default shortcut created when I build the CAB file with the location of desktop it still creates a short cut in the Programs and not on the desktop.</p>

<p>Does anyone has a solution for this ?</p>

I would check out the link:
http://msdn.microsoft.com/en-us/library/ms938387.aspx
That should get you well on your way. Basically shortcuts in CE are just ASCII files of the format:
21#\Windows\solitare.exe
Where 21# is the number of characters in that path. Here's another link to MSDN with more info on that:
http://msdn.microsoft.com/en-us/embedded/aa731295.aspx
Hope that helps!