Assuming Windows 7, click start. Right click the prog you want to create a shortcut for; hover over send to; move cursor down to shortcut on desktop and click.
Goto the page you want a shortcut for, then slightly reduce the size of your browser so it's not full screen an you can see a little bit of your desktop and then if you look immediately to the left of the address in the browser address bar you see a little icon, just drag that little icon onto the desktop.
Though I can never figure out why people want shortcuts to web sites on their desktop, surely just adding the site to your favourites (or bookmarks) is easier.
Copy the url link to the site you want, then go to your home screen, right click,select new,select shortcut.
Then past the url lin on there,select next and then name the shortcut.