...and try as the command in keyboard shortcuts....
sudo apt-get install wmctrl
The command will switch to the desktop that has a window with "Firefox" in the title, raise the window, and give it focus.
sh -c "wmctrl -a Firefox || firefox"
If a window with "Firefox" in the title doesn't exist, it will start firefox.
So to use with other apps use the same format...
... which will switch to a window containing the string <str> in the title or
sh -c "wmctrl -a <str> || <start command>"
if there is no window containing the string it will run <start command>
EDIT If you are using unity though, just use the super+number shortcuts as Vaphell stated.