By default, the quickest way to get to "My Computer | Properties... | Environment tab" (for example) is to click on those three items one after the other. Here's how to create a shortcut that will take you directly to the "Environment tab" bypassing all other windows:
Initialize creating a shortcut (by right clicking on a folder of your choice or the desktop and selecting "New | Shortcut")
Type:
control.exe sysdm.cpl,System,2
in the "Command Line" input box
Click on "Next"
Type in a name of your choice for the new shortcut
Click on "Finish"
Here's another hint: try creating more shortcuts changing only the number at the very end of the command line (2 in our above example).