By default (and if turned on in Finder), Mac OS X only shows network shares on the desktop when they are connected. If you want to have a link to the share, even when it's not connected, you can create an alias to that share to have it always shown on the desktop. This way, you will always have it available, and moreover, double-clicking the alias will automatically connect the share, and, if required, prompt for a password.

To quickly create a share, connect it like you normally would. While staying in the root of that share, drag its icon in the title bar of the Finder window to your desktop while holding the Option (alt) and Command keys. This will create a permanent alias on your desktop.
Note that you probably want to turn off the display of connected shares in Finder as connected shares would then be displayed twice.