Claudia,
I don't think you can do this as a standard feature of the installer. But you can always run any executable after your installer completes, so you could write a simple program that prompts the user, and then copies the shortcut to the desktop.
In order to launch your executable after the installer completes, first add the executable to the installer in the Files tab of the Edit Installer dialog, then right-click on that file, select "File Options", and then select "Launch after Installation".
Luis