You can do a shortcut several ways
1. Press +shift+A to get to applications (H for home, U for utilities, C for computer, and there are others, i've just forgotten them now
2. Drag the folder/application/file you want into the dock. Folders and files go in the division near the trash can (but not in it!), and applications in the division with the Finder icon.
3. Create an alias. This is the Mac OS X equivalent of a shortcut. Control- or right-click the item you want aliased, and a menu should come up. Select 'Make Alias', and an item will be created with a little arrow in the bottom left corner of the icon. You can drag this anywhere, and it'll just re-direct you to the original folder.
4. Use Finder. Open a finder window, and drag the item you want into the sidebar on the left. Anything can go in here; folders, music, movies, documents, even printers (so you can print a document without opening it)