When you right click a blank area of the desktop and choose New / Shortcut, the New Shortcut Wizard should be invoked.
If this does not happen, browse to:
and verify that this type REG_SZ value name has the following data value:
RunDLL32 AppWiz.Cpl,NewLinkHere %1
If you would prefer to create the shortcut without the wizard, and edit the shortcut Properties manually, change the data value to:
RunDLL32 AppWiz.Cpl,NewLinkHere %2
You do not have to restart your computer for this to take effect.