There's a couple ways:
Do a FIND (START-FIND-FILES OR FOLDERS), type in "*.scr" in the "named" block and browse to C:\Windows for the "Look in" block. When the search is complete, right click the screen saver you want and select CREATE SHORTCUT from the pop up menu that appears. You'll see a pop up stating the shortcut will be created on your desktop. By the way, when you type "*.scr", leave the quote marks off.
".scr" is the screensaver file extention. Now if you have AutoCAD or some other CAD program on your computer, the directions above may not work. "scr" is also the extention of AutoCAD script files.
The other way to do go <A target="_blank" HREF=http://www.stratoware.com/wr>here</A> and download Windows Restart 2000. This will put an icon on your taskbar (near the Windows "clock") that allows you to run certain commands, one of which is to invoke the screen saver. Windows Restart 2000 works fine on Win 98SE, but you'll have to see what other Windows OS's it works on. This isn't a shortcut on your desktop, but I think you'll find Windows Restart a better method.