Cleanmgr \ sageset for Disk cleanup

The textbook 'Windows XP Inside Out' has an interesting suggestion on scheduling automatic disk cleanups: in the Command Prompt window, I should tpe cleanmgr \ sageset:200 (the number is arbitrary...). Once I have chosen the options that I want to apply, I click Ok. The book proceeds to suggest creating a shortcut that uses the commamd cleanmgr \ sagerun:200 and saving that shortcut in the Windows folder. How do I create this shortcut, and where exactly is this Windows folder??? Can I save it to my desktop? I tried but was not successful. Thanks in advance for any help anyone can offer.

Martino.