I am looking for a way for when someone installs my application it goes in their "all applications menu". Then, after they run the app and go into the setup, when they click save on their options, it will create a shortcut on the home screen (not the all applications menu). Also, is it possible to have this shortcut not do the same thing as the other app? meaning that if I wanted to change the settings I could click on the app in the all applications menu and if I click on the app in the home screen it does something else.
First off, there's lots of different home screen implementations on Android. The stock Android one, Samsung, HTC and Motorola all have their own variants, then third party ones like Launcher Pro. All use different stores as to what to keep on the home screen, may provide different profiles for the home screen (home, work, etc).
Second, the home screen is prime real estate. And it is also the user's real estate. If there was programmatic access to the home screen, what happened to the Windows quick launch, desktop, favorites menu (in older versions of IE), and older pin area of the start menu (the very top of it in Win 95/98).
To quote Raymond Chen "I bet somebody got a really nice bonus for that feature". So, in short, even if it was possible, please don't. As awesome as you think your program is, the user might not think the same.