How do I create a desktop shortcut to an application in Mac OS 9?

Open the program's folder and click once on the program icon to highlight it. Press the "Command" and "M" keys simultaneously, and the shortcut/alias will be created beside the original. Drag the shortcut from that folder onto the desktop. The "Make Alias" command is also listed under the File Menu, if you'd prefer to use that method instead.

You can also hold down both the Command and Option keys, and while keeping them held down drag the icon of the game out to the desktop. When you release the mouse, an alias (shortcut) to the game will be created where you let go.

One advantage to this method is that the resulting alias will not have the word "alias" appended to it (unless you initially drop it in the same folder as the original).