If you still think so, you have to retrieve the user's Application
Data folder (using Environment.GetFolderPath() or the SHGetFolderPath
Win32 API), append "Microsoft\Internet Explorer\Quick Launch" to the
path and create a shortcut to your app there.
There's probably no built-in support for this in the setup project
system, since you shouldn't create icons there. So you may need a
custom action to do this.