In the past, I have written about how you can create a shortcut to the Control Panel and put it on your desktop. In Windows Explorer, just click and drag the Control Panel icon onto your desktop. When you release the mouse button, a shortcut appears on your desktop. It's easy.
Even with a shortcut to Control Panel, you have to click around a bit to get to the particular settings you want to change. As it turns out, you can create shortcuts that take you directly to a particular Control Panel item as well. The easiest way is to just drag the Control Panel shortcut from your Start menu out onto your desktop. A shortcut appears when you release the mouse button.
Alternatively, if you prefer to rummage around amidst your files, you can create a shortcut from the Control Panel files stored on your system. Control Panel files have a .cpl extension and they are located in the Windows\System32 folder. In Windows Explorer, navigate to that folder. Click the Views button and make sure that you are looking at Details view. Now click the Type heading above the list of files. All the .cpl files will be grouped together with a type called "Control Panel Extension."
For a list of common .cpl files in Windows XP, go to http://support.microsoft.com/kb/313808/en-us
Suppose you want to add the Display properties to your desktop. Right-click the file called desk.cpl and choose Send to Desktop (create shortcut). No matter how you create your shortcut, you can always rename it. Right-click the icon, choose Rename, and type something more descriptive. If you want to change the icon, right-click and choose Properties. In the Shortcut tab, click Change Icon and find one that's a little more fun.
In my case, I added shortcuts for Display Properties and Add/Remove Programs (appwiz.cpl) since those are the things I access most frequently in Control Panel. Note that you may have other .cpl files than the ones in the list from Microsoft because vendors often add Control Panel items, so you can configure the settings on their products.