with a batch file.
Use Notepad to create the file the write the file using the following format;
If that has appeared correctly on this site,you should have 2 seperate lines, each showing the path to programmes...
Save this file with the extension .bat, eg "mygame.bat"
You can create a shortcut on your desktop by rightclicking and selectng "new shortcut" then following the prompts.
This works for Win 98... apologies if it is different for other flavours of Windows!