What you trying to do Sqad? there isn't a "short cut to desktop" on the file menu in IE as default, so if you have one it must be an add-on of some sort.
all that does is create a shortcut on the desktop, just right click on the desktop and select new > shortcut and type (or copy and paste) the address you want.
the shortcuts will always open in your default browser regardless of how they are created so if you want them to open in firefox just change your default browser to firefox instead of IE (then all the shortcuts you create, or have already created, in IE will open in firefox)
rojash....I have done it now BUT if you go to the site then how can you drag it to the desktop cus that will mean leaving the site.............I.ve missed the point haven't I?