Highlight the Desktop (left-click on an empty spot).
Right-click and choose New, and then select Shortcut from the drop down menu.
In the Command line box copy & paste:
C:\WINDOWS\RUNDLL32.EXE C:\WINDOWS\SYSTEM\USER.EXE,ExitWindows
You can then right click on the shortcut, choose properties, and change the Icon to whatever you
want.