Since Windows 10 is not using Control Panel anymore for Windows Updates, it is not that simple to create a shortcut anymore. To create a shortcut to Windows Update, use the following procedure:

• Right-click on the Desktop and choose New > Shortcut
• In the "Location of the item" field, type
  ms-settings:windowsupdate
• Click Next
• In the "Name of the shortcut" field, type Windows Update
• Click on Finish

While this works, it has one disadvantage. Clicking the shortcut always first starts Internet Explorer and only then starts Windows Update. This makes the start of Windows Update slower.

To avoid this, you can type the following in the "Location of the item" field

C:\Windows\System32\control.exe /name Microsoft.WindowsUpdate

in the procedure above. You then have just to choose a different icon, if you don't want the starndard Control Panel icon.