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http://aserverwith.no-ip.org/shforum/index.php
Now, right click anywhere on your desktop and select "New" -> "Shorcut". Copy The above link in the location box and click "Continue". Give your shortcut a name and you're all set!
You may notice that you get a default icon similar to a system file. To change that icon, right click on the shortcut you just made and click "Properties". You should be viewing a tab called "Web Document" in the properties window. Click the "Change Icon" button and a new window will come up with icons in the windows folder.
There are other places to find icons, such as in a folder of an installed program or in other Windows directories. The window that comes up is the default folder for selecting new icons.

Picture outdated because the URL is different, but you get the idea.