I just installed Chrome at the office and, I don't know why but the Create Shortcut to Application command does not work...

To create shortcuts manually, just (Vista) :

1. Right-click on the desktop.
2. Choose New > Shortcut
3. Enter the target URL like this :

C:\Users\Me\AppData\Local\Google\Chrome\Applicatio n\chrome.exe --app=http://mail.google.com

(or anything else : msdn.microsoft.com or www.flickr.com works fine too)

I think that App shortcuts are one of the best innovation of Chrome.