To create the shortcut,
- Right-click anywhere on the desktop.
- Go to New -> Shortcut.
- In the dialog that pops up, type in 'mailto:' as the address, of course, without quotes.
- Click Next and in the next screen, name the shortcut whatever you want. Example: New Email.
- Click Finish and you're done.
Enjoy this tip and be sure to check out my archive. See how to get a Chrome-like Omnibar for Firefox, see how to log off other users on your computer or enjoy some Google Reader shortcuts (not sure what Google Reader is?).