Text objects are possible with DesktopX (create object, open properties, go to the states tab and change appearance from image to text) and you can easily turn them into shortcuts. See HERE on making shortcuts.
The bursting into flames, I would imagine, you'd have to do in photoshop as an animation. Afterwards, you can add that animation to the object in DesktopX, so when you click on the object the animation plays. See HERE for how to add animations.
More tutorials:
WinCustomize Wiki
RomanDA's Step by Step Tutorials
And if you need anymore help just ask here on the forums. Good luck. 