Creating Desktop Shortcut

Hi,

I'm trying to follow instructions from my university to create a desktop shortcut so I can connect to the departmental H: drive, this is specifically for Mac users apparently. It tells me to right click on the desktop and select new>shortcut, but when I right click the only options are new folder, get info, desktop background, clean up, clean up by...., sort by... and show view options. I'm running 10.9.3 on a Macbook Pro. Any ideas what I'm actually supposed to do to create this? I'm supposed to then enter something in the "location" box after new>shortcut which will create a "home" shortcut.