Right click on the desktop and select New > Shortcut from the context menu. This will bring up a Create Shortcut window. Where it says 'Type the location of the item' enter
"C:\Program Files\Internet Explorer\iexplore.exe "
followed by the address of the site you want to visit.
(e.g. "C:\Program Files\Internet Explorer\iexplore.exe "
http://www.theanswerbank.co.uk).
The double-quotes are important - remember to leave them in. Click Next and give your new shortcut a name. Then click Finish.