1. Make a shortcut for specific channel?
You cannot create a desktop shortcut to a specific channel since the Slingplayer.exe doesn't have any options or arguments.
2. Make a shortcut to let slingplayer start up in full screen mode?
The Slingplayer will "remember" its last setting, so if you close it while maximized then it will reopen maximized.
All the preferences are saved in one of two files, "SBCore.ini" or "SlingPlayer.ini"
In Vista they're located in "C:\ProgramData\Sling Media\SlingPlayer\2.0"
or XP "C:\Documents and Settings\All Users\Application Data\Sling Media\SlingPlayer\2.0"