Here's how to make it work:
- Right-click or tap and hold any blank place on the Windows 10 Desktop.
- Choose New > Shortcut.
- Pick one of the ms-settings apps listed below and type it into the input box. For example, to go to the Data Usage app, type ms-settings:network-proxy in the box marked Type the location of the item.
- Click Next, give the shortcut a name, and click Finish.