SSH into your raspberry pi or open the Terminal directly in your raspberry pi.
Go to the Desktop:
cd cd Desktop
Create a new file with nano using the following extension:
Add the following code, make sure to change the Name key with your shorcut's name:
[Desktop Entry] Encoding=UTF-8 Type=Application Icon=system-file-manager Name=NameOfYourShorcut Exec=pcmanfm /full/route/of/folder/
You need to treplace the last "Exec" key with the route of the folder you wish the shorcut to point to.
Save the file and exit nano by pressing Control + X then type "y" and press "Enter".