This article equally applies to how do i create desktop shortcut for msn hotmail or Windows Live Mail.
Right click anywhere on your desktop or other folder to create a new shortcut, when prompted for the URL or link by the shortcut wizard use the link as below(No spaces allocated).
%windir%\System32\rundll32.exe “%ProgramFiles%\Internet Explorer\hmmapi.dll”,OpenInboxHandler
The shortcut link is a Windows host process (Rundll32) file, assign an icon of your choice if you need that.
You’ll be taken directly to the link http://www.hotmail.msn.com/cgi-bin/sbox?action=inbox asa you click the shortcut icon on your desktop.