Once you connect to a share, you should see it on the Desktop already! Unless you're connecting some way I don't know about.
If they in fact do show up on the Desktop, then create a new Folder maybe named Shares on/in the Desktop, drag all those Shares shown on the Desktop to that Folder, drag that Folder to the right side of the Dock between Applications & Trash, this should give you a popup menu to select from.:-)