I'm not sure if you mean a web application in general, or the web apps that google gear's supports. As far as that goes, a desktop url shortcut is simply what it sounds like, a shortcut on your desktop that opens up a url.
Where as the web apps are similar, in that they are shortcuts to urls, but you have to have google gears installed for it to work, and it basically gives you offline access to something you traditionally need to be online for. For example, they have an offline version of Google Docs, so it simply gives you an easy way to access your google docs offline and they sync them with your online copy when you are online.
Bookmarks