Here is a function that I wrote to do this on my networks. Reusable so you can call the function multiple times to add multiple links.
your code is giving you an error as you are trying to save to the allusers desktop which you need admin permissions for.
DesktopPath = WshShell.SpecialFolders("Desktop")
AddLink "MUSAC Classroom Manager Administrator", "MUSAC Classroom Manager Administrator", "m:\cm\cmadmin.exe", 1, "m:\cm", "", ""
Sub AddLink(LinkName, Description, Path, WindowStyle, WorkingDir, Arguments, IconPath)
on error resume next
Set link = WshShell.CreateShortcut(DesktopPath & "\" & LinkName & ".lnk")
link.Description = Description
link.TargetPath = Path
link.WindowStyle = WindowStyle
link.WorkingDirectory = WorkingDir
if (Arguments <> "") then link.Arguments = Arguments
if (IconPath <> "") then link.IconLocation = IconPath
link = empty
on error goto 0