You can right click Programs and Send To -> Desktop (Create shortcut) but with url links it is different.
Open your browser and resize the window to leave part of the desktop showing.
Go to the site that you want a shortcut to.
Left click on the small icon to the left of the address and drag it to the desktop and drop it.
Resize your browser window and go to your desktop and drag the shortcut icon to anywhere you want on the desktop.
dave