I know it can be done -- I think, because when you download all that yahoo stuff (for IM) it puts a link to yahoo.com on your desktop. I've also seen this done on other things on the computer. Sorry if I sound like a computer newb; I really can understand things!
I don't know what browser u are using, but if you grab the icon next to the address in the address bar, and drag it to the desktop (or whereever you want it) and drop it, it will create a shortcut to that site.