login script:
copy /y \\server\netlogon\blahblah\shortcut.lnk "c:\Documents and Settings\All Users\Desktop"
copy /y \\server\netlogon\blahblah\favourite.lnk "c:\Documents and Settings\All Users\favorites"
incidentally if it's the same favourite that's to go into both places you can stick it into a folder on the server on it's own and have the script copy the entire copy of that folder to the desktop and favourites lists, that way you can just chuck in another link if you have to add to it later on.
copy /y \\server\netlogon\blahblah\*.* "c:\Documents and Settings\All Users\Desktop"
copy /y \\server\netlogon\blahblah\*.* "c:\Documents and Settings\All Users\favorites"
Editing the server path to suit your setup. Using group policy or MSI is a more professional way but I still use logon scripts a lot for minor things like this as they're easy to track errors and frankly they're reasonably quick. They're also far faster to modify than MSI or group policies.
/y will mean it'll overwrite without prompting, you can quite easily modify this to check if the file exists already (if exist c:\ etc etc)
I might have my quotation marks in the wrong place, I am on my 3rd beer and a light drinker
My favourites are set using GP on my windows 2003 domain, desktop I usually control using login scripts though, purely as I have to change it so often (it's a school).