Yes you can.
- Place the cursur in the paragraph that you want the shortcut to point to.
-Right Click and select "Copy Hyperlink to this Paragraph".
-Right Click on the desktop and select New -> Shortcut.
- When the "Create Shortcut" box opens Paste into it.
-Select "Next" and then "Finish".
-A OneNote Shortcut will appear and double clicking will take you back
to your place in OneNote. This works under Windows XP.