Do you want quick access to your Azure Sentinel tenant without having to sift through the general Azure portal? Sure, you can setup an Edge (or other browser) shortcut, but you can also create a Windows 10 Taskbar shortcut and/or a Start Menu shortcut.
Here’s how.
Download the 32×32 pixels Azure Sentinel icon: https://github.com/rod-trent/AzureSentinelMisc/blob/master/AzureSentinel_icon_32x32.zip
Extract the icon file and save it somewhere memorable (you’ll use it later).
Open your Azure Sentinel tenant to the Overview page in the Azure Portal. Alternatively, you could create separate shortcuts for the Azure Sentinel blades you access most often, i.e., Analytics, Hunting, Logs, etc. If you want to create shortcuts for the other commonly accessed areas, download the Azure Sentinel Icon Pack.
With the Azure Sentinel console open in Edge (different for other browsers) click the ellipses, choose More Tools, then Pin to Taskbar. Rename the shortcut to Azure Sentinel:

Once you do this a general Azure icon will appear on the Taskbar until you change it to the Azure Sentinel one you downloaded earlier.
To change the icon, open Windows Explorer and enter and access the following path: %AppData%\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar
Locate the Azure portal shortcut icon, right-click and choose Properties.
In the shortcut properties, access the Shortcut tab, then click Change Icon and browse and select the icon you extracted and saved earlier:

Once you save the icon, you’ll need to refresh the Taskbar to get it to display correctly. You can either reboot the device for that to happen, or just Restart Explorer using Task Manager:

Once you refresh the Taskbar you’ll now have your own cool-kids Azure Sentinel icon:

If you also want the shortcut to show up on your Start Menu, open the Start Menu, right-click on the Azure Sentinel icon in Programs list and choose Pin to Start:

Obviously, this can be automated and deployed using your favorite packaging and software distribution methods, but this should be enough to get you going.