To create a desktop shortcut to a file stored on your Windows PC: Begin by navigating in Windows Explorer to locate the file for which you wish to create a desktop shortcut.

Learn how to create a desktop shortcut to open your favorite application, website, etc, & place it on your Windows 11/10 Desktop or any other folder.

To transfer files from Remote Desktop to Windows 11 or Windows 10, you need to follow the aforementioned guide. As said earlier, you need to use the Local devices and resources.