Here are a couple of more ways...
(At least this works in Mandriva KDE 4.3.2)
You can right-click on the desktop and choose Create New > Link to Application. On the Application tab type in an appropriate Name and for Command put in the path to the executable (example: /usr/bin/opera ). On the General tab, click on the icon under the word General and choose the icon you want.
You can go to the application in the KDE menu, right-click on it and choose "Add to Desktop".
Fedora 18 Gnome on a ThinkPad X220, i5-2540M CPU, Intel HD Graphics 3000, Intel N 6205 wireless, and Sierra Wireless 754S Mobile Hotspot (AT&T)