How to create your own Sleep button in XP?

1. Right click on the desktop.
2. Select New -> Shortcut.
3. In the text box type rundll32.exe powrprof.dll,SetSuspendState
4. Click Next.
5. Type Sleep in the text box.
6. Click Finish.

Why I am unable to run programs from shortcuts?

Right Click on the short cut
Click Properties
Click 'General Tab'
Check the location.
It should be 'C:Documents and Settings\All Users\Desktop'
Refer the picture below

Is there anything wrong with the location?
Refer the next picture. If you find the location something like this in the picture, then copy paste it to 'C:Documents and Settings\All Users\Desktop'

The problem is because of confusion with different user accounts. Check with the user accounts for permanant solution.