http://oddworld.modifikace.com/ddcheat/01.JPG
1. Right click on AE icon and select copy
http://oddworld.modifikace.com/ddcheat/02.JPG
2. Right click on your desktop/folder you want to place shortcut in and select paste shortcut
http://oddworld.modifikace.com/ddcheat/03.JPG
3. Right click your new icon and select properties
http://oddworld.modifikace.com/ddcheat/04.JPG
4. In shortcut tab add -ddcheat to target textbox
You can add -ddcheat for moving Abe in level, -ddfps for showing frames per second, -ddnoskip (i have a mistake in post above) for extremely fast game, -ddfaster for lower graphic quality or -ddfastest for lowest graphic quality.
I'm sorry, but I have only Czech version of Windows, but I hope it helps.