Well, according to this article, keyboard shortcuts must reside on the desktop, which is what you don't want. Keyboard Shortcut - Vista Forums
I'm just wondering if the alternative might be an upmarket keyboard that has hot keys that can be programmed to open a certain program or folder. I know both Logitech and Microsoft do one, but they are rather expensive as far as keyboards go.
You could of course use desktop shortcuts then choose to hide your desktop icons/shortcuts until you need them, although you'd then need to right-click your desktop to hide or view icons, but it would be quicker than drilling down to an obscure location.