How can I place a short cut on the desktop for the Favorites list?

Open Windows Explorer, go to:
C:\Documents and Settings\[your user name]\Favorites
Highlight the Favorites folder then right-click and select Send To Desktop (create shortcut)

Need's answer is perfect (gotta spread need). You can also have the favourites menu on your start menu!

Right click the start button, select properties, click the "start menu" tab, click "Customise", click "Advanced" tab and in the "start menu items" box, tick the "favourites menu" option!