It's not terribly convenient and you need to be able to edit XML files, but doable anyway. You can create your own .url or .webloc file with a plain text editor, check http://stackoverflow.com/questions/146575/crafting-webloc-file for instructions. I checked creating both types of files with a evernote:// link and it works, but the .url file is always opened by Safari, not my default browser (Firefox). I find it easier to put a bookmark in my default web browser and use a launcher like Quicksilver or Launchbar, though. That would open up the Evernote webpage right? I'd like to be able to open a note in the evernote application from a desktop shortcut.