In your screenshot there are three drives. First you need to identify which one of them is the external drive for your data, the so-called D drive.
Once you know you have two options:
Specify manually the mount point for this particular drive. A mount point is a specific location in your filesystem where this drive will be accessible. By default this location can be in directories suchas /mnt or /media.
To change this, you need to add an entry on the /etc/fstab file. You can do this through the Disks software, please take a look at this thread for an example:
Another option, is to create a symbolic link which is the equivalent of a shortcut in Windows. It's exactly what it sounds like, a phony folder that when access it refers to the contents of another location in the system.
I only know how to do this with a terminal command which would look like this:
ln -s <path_to_mount_point> <path_to_shortcut>
So, if your drive is at /etc/sda2 and you want the shortcut in your desktop under the name "data_drive" you would do:
ln -s /etc/sda2 /home/arkhane/Desktop/data_drive
Personally, I think option 1 is better because if the drive is not mounted for whatever reason then you'll have no icon at all. Whereas with option 2 there would be an icon pointing to nothing, or even worse: to another drive which is not what you expect nor want.
Yeah, sorry I should've been more specific about that.
Just be careful since there's a chance if you plug another drive that is also mounted on /mnt/Data the link will automatically point there, so just something to consider. The first option of specifying a more direct mount point is safer, although it can cause permission issues if you have multiple users in the same machine.
It means that is a link to a file, not a file itself.