If you're using Win-95 or later, there's no need for any programming at all - just create a desktop shortcut, and assign a shortcut key to it.
It's probably even easier with Active Desktop?

You can also add documents to your 'Start' menu - I have the Triscend Data Sheet, the 3 chapters of "the bible" and all the Keil manuals in a folder off my 'Start' menu.

You could also use the quick-launch buttons (was that in Win-95, or only '98 onwards?).

MS-Office has a toolbar thingy - I've never used it myself, but I think it could also do this?

Do all of them, if you like: you only need the actual files once - all the rest are just "pointers"