Type an email address on a line by itself into a text editor (TextEdit, TextWrangler...don't use Microsoft Word) select it (don't select any other lines or spaces) and drag it to the desktop.
You can also drag off an address from Safari...for example, select the text below
(being careful not to include extra lines or spaces) and drag it to the desktop (or wherever.)
You can also drag mailto: links out of Safari to the desktop or
the Dock...for example, drag this link
to the desktop.
(The resulting email aliases will work if you use a desktop mail client like Mail, Entourage, Eudora, or Thunderbird. They won't work if you use a web service like Gmail or Yahoo!)