Adding a shortcut for "Change Adapter Settings"

_{The accepted answer is nice and impressive, but its not the way Microsoft wants you to do it.}

Instead you should drag & drop the icon in front of your Address Bar to your desktop.
This creates a shortcut and has already the correct icon and filename.

Btw. this method works with every Control Panel window

You can create a shortcut to network connections by following this:

1) Right click on a empty area on the desktop and click on 'New' and 'Shortcut'.

2) Enter this rundll32.exe shell32.dll,Control_RunDLL ncpa.cpl in the 'Type the location of the item' field as shown below

3) Now provide a name for your shortcut and click 'Finish' button. The shortcut should be created on your desktop

Once this is done and you click it it should take you straight to 'Change adapter settings' screen.

Based on the answer by @Shivaranjan, an alternative way is Win+R and type ncpa.cpl: