If you actually want to send the key sequence as if you keyed it while the desktop was the active window(has the keyboard focus) you could script in AHK to just send the keys. To send Alt + F4 in AHK is
Send !{F4}
So an AHK program to set focus to desktop then send Alt + F4 might look like this
; SendAltF4.ahk
; make Desktop active then
; send the keys
Sendmode Input
WinActivate ahk_class Progman
Send,!{F4}
Then just follow the same procedure to create a shortcut for the script as in the tutorial linked by Ath. Or you can programatically create them using AHK's FileCreateShortcut command to create the .lnk files on the desktop.
Note: To use the mini-scripts without AHK installed on the machine you would compile them to exe. They might make fun novelty programs.
