so there is.... you didn't say send to :)
all that does is create a shortcut on the desktop, just right click on the desktop and select new > shortcut and type (or copy and paste) the address you want.
the shortcuts will always open in your default browser regardless of how they are created so if you want them to open in firefox just change your default browser to firefox instead of IE (then all the shortcuts you create, or have already created, in IE will open in firefox)