If you're a new Mac user and using Windows as your operating system before maybe you have to adapt for Mac instruments. And that happened to me when I was searching the way to create shortcut for my data files. I've written an article that discusses about substitute between Mac OS X and Windows XP and hopefully, that article may help you to learn Mac OS X.

OK, back to main article, to create new "shortcut" on Mac OS X. Mac OS X calls it 'alias'. Alias has a same function with shortcut on Windows. But, they have a little difference between them. Shortcut on Windows is easy to lost its link to original file such as if you move the original file, shortcut would lost its link to original file (although you'll ask to find the main file when you open the shortcut file that has lost its link but that's pretty annoying for me). If Mac OS X's alias always updates its main file location so, it's doesn't lost its link to its original file even you move the original file except if you delete the original file.
On Windows, to create a shortcut, click the original file, press Ctrl key, click and hold it and then point to your destination folder (you also can choose to the same folder with your original file) and then release the mouse button. The another way is right clicking the file and chooses Create Shortcut menu in context menu, and then you'll get its shortcut in original file's folder.
On Mac OS X, to create a shortcut, press Option + Command key, click the file, and hold it and then pointing to your destination folder and you'll get a new alias in there (you allowed to pointing to original file's folder to create alias in that folder). The another way to create alias, right click the file, and choose Make Alias menu in context menu.
To recognize an original file or a shortcut/alias, usually a shortcut/alias file has a little arrow on its icon.