Updated answer for OneNote for Windows 10 as of build 1806 and later:
First, get the pair of links to the workbooks:
- Open your workbook (in the app)
- In the notebooks list, right click on the desired workbook
- In the context menu, select 'copy link to notebook'
(as noted in related articles, copying this link actually puts 2 flavors of link on the clipboard)
Next, paste the links into a text editor (e.g, Notepad.exe). Note that there are 2 lines pasted, and the path in the second isn't quite the same as the ID in the first.
1. https://__redact1__.sharepoint.com/personal/__redact2__/_layouts/OneNote.aspx?id=__redact3__
2. onenote:https://__redact1__.sharepoint.com/personal/__redact2__/Documents/__redact4__/
And finally, paste the onenote:http://...
line into a new desktop shortcut.
It will open in OneNote app. You don't need to make the shortcut invoke the onenote .exe, it's already magically bound to the onenote: protocol.