I right click the desktop and do "create launcher" and then set the type to "location" and then browse to a file inside the folder, select it (with the inappropriately named "open" button) and then manually edit the path to remove the file name, leaving only the path to the folder. I'm on Ubuntu 10.10.
If there are no files in the folder, create one before doing "create launcher", and then after you have the shortcut, clean-up by deleting the file. This is such a nice process.
How can I make folder shortcuts without manually editing?