Probably you have installed some non-reliable app, which is adding those annoying shortcuts in your home screen. I recommend you to install and make a scan with the free app TrustGo Ad Detector, and uninstall the app(s) under the behavior Create shortcut on home screen.
Also check out under the other behaviors for more suspicious apps and proceed as recommended. Note that some apps use legitimate mobile ad services, like Google's AdMob to monetize via ads, but they are listed under behaviors Leak identity info and Collect location , so just make sure you only uninstall (and avoid to install in the future) applications like online casino games, adult apps/games, and other which you distrust.
Keep making scans periodically (weekly or monthly) on your device to get rid of new potentially risky apps.