Yes, it certainly is. Since the ability to right-click and create a launcher (or "shortcut" in Windows-speak) has been disabled in Ubuntu 11.10, you need to install a program first. So open a terminal window and type:
To create a new launcher on the desktop type:
sudo apt-get install --no-install-recommends gnome-panel
Click on the little springy icon to change it. Give the launcher a name in the "name" field, and supply the path and name of your script in the "command" field.
gnome-desktop-item-edit ~/Desktop/ --create-new