In traditional Microsoftian way, there are more ways to do this than one. Right click on your desktop, choose the "Desktop" tab of "Display Properties," click on the "Customize Desktop" button, and check the box next to "Internet Explorer."
And yes, this is a basic question, but it's only basic to those of us who have been using Windows for a while. Besides, doing the rightclick > new > shortcut method will not give you a fully functional IE icon. Using either the method that thornc proposed, or my method, will produce an icon that is right-clickable to get the internet properties dialog, among other things.