Linux works differently than Windows, so there is no equivalent to these commands.

I'm guessing you are attempting to create a shortcut on the desktop to start a particular program and have the program keep it's data in particular folder.

Ubuntu does not install the tool for creating your own desktop shortcuts with the standard install. Following this how-to should get you going:

http://www.howtogeek.com/106470/create-desktop-shortcuts-in-ubuntu-11.04-and-11.10/

Most programs in Linux are not told at invocation where to keep their data. Most will have a default location where they keep it and most will have a "settings" or "preferences" command that can be invoked once you have the program running where this can be changed if you want the data kept elsewhere.