Example done on Ubuntu 15.04 with Unity Desktop.

Open Gedit or your favorite text editor and create a file on the desktop yourchosenname.desktop

This example of the text is for an RDP Remmina connection.

The Exec line is pointing at a Remmina connection configured and saved in the Remmina application.

[Desktop Entry]
Version=1.1
Name=remmina
Comment=remote desktop
Exec=remmina -c /home/user/.remmina/1430501694252.remmina
Icon=/usr/share/icons/hicolor/48x48/apps/remmina.png
Terminal=false
Type=Application
Categories=remote desktop;

After creation right click the icon and select Properties. On the Permissions tab tick the box to make it executable Allow executing file as a program.

You can edit that Remmina file to point at different servers etc.

vi /home/user/.remmina/1430501694252.remmina

This is an example of the text in that file.

[remmina]
disableclipboard=0
ssh_auth=0
clientname=
quality=9
ssh_charset=
ssh_privatekey=
sharesmartcard=0
resolution=
group=
password=
name=CPTSSERVER
ssh_loopback=0
shareprinter=0
ssh_username=
ssh_server=
security=
protocol=RDP
execpath=
sound=local,44100,2
exec=
ssh_enabled=0
username=
sharefolder=
console=0
domain=jw
server=192.168.1.2
colordepth=16
viewmode=4
window_maximize=1
window_height=1153
window_width=1920