You don't need to do it through Firefox. If Firefox is your default browser here's how to do it:

Right Click on your desktop > New > Shortcut

Then you can give an address to where ever you want and name it as you like!

Another way is to bookmark the page you want. Then from bookmarks menu right click on it and choose copy. Then on your desktop right click and choose Paste Shortcut.

Hit 'Solved it' if this helped you so the topic would be closed.

I'm using XP, and when I right click on the desktop and click New, there is no option for a shortcut. Maybe you have Windows 7?

When I used the "bookmark" option, that worked. Thank you for your help.

I don't know but, I have a system with Win XP SP3 and I'm pretty sure there exists shortcut in Right Click > New.

At any rate, please hit 'Solved it' Button to close the topic.