An Internet Shortcut file is used on Microsoft Windows to quickly access a website. It opens a specific site in the default web browser.
It has a .url extension (although is not usually visible) and its icon is the same as the default browser's.
It's really simple actually. Just right-click in your desktop or in any folder (but not over a file) and choose New and Shortcut.
Then write the URL of the website you want to link to, type a name for the shortcut and you're done!
As an alternative, open Notepad and type the following, replacing http://www.example.com/ for the address you want.
[InternetShortcut] URL=http://www.example.com/
And save this file as name.url