Windows Shortcuts
In any version of Windows, shortcut files with keyboard shortcuts must be placed on the desktop or – if you want to keep your desktop absolutely empty – in the
C:\Users\YourUserName\AppData\Roaming\Microsoft\Windows\Start Menu\Programs
folder. You can even create a subfolder for shortcuts and place it all in there like
[...]\Windows\Start Menu\Programs\Keyboard Shortcuts
Please note that you must redo the keyboard shortcuts if you move shortcut files around.
Third Party Tools
An alternative would be to create your keyboard shortcuts with a 3rd party macro tool such as AutoHotkey or PhraseExpress. In this case, you don't even have to create desktop shortcuts to activate the keyboard shortcuts. And they are easier to manage: In the case of AutoHotkey, you could even print them out as a list because the commands are stored in a file that you can edit in Notepad.
Of course, if you're opposed to install any program that you can avoid, this is not for you.