I don’t know about other people’s Visual Studio 2008 installations but I had a bit of rough time with the Setup Project in mine.
I am not going to bother you with all I have been through. Long story short, when I tried to create a shortcut in either the User’s Desktop or User’s Program menu the behaviour of the File System view was disconcerting. And that, because whenever I right clicked on one of those folders in the tree view and chose "Create Shortcut To …" I could not see the shortcut in the right pane. They kept disappearing in thin air. And every time I attempted to create a new one I could see the new proposed name ending in an each time incremented number. They were there but invisible and kept piling up. Later somehow they showed up and I was able to see them but I don’t know how.
This weirdness happens only within the tree view because if you do the same thing by right clicking on any of those folders mentioned above but in the right panel you get the shortcut and when done setting its properties you can actually see it in the right panel.
Now, how you actually get a shortcut that points to your installed executable?
You go to the Application folder where I assume you already added a "Primary output from your_application (Active)" entry. You right click on this entry and create a shortcut to it. Then , you copy this shortcut (usually) to the "User’s Desktop" and "User’s Program Menu" so upon installation the user will get a shortcut on the Desktop and another one in the Start\Programs menu.