Ah I see. The files directory is needed for the web page to display it's graphics and so on when you are offline. The two need to be in the same area, unless you are going to recode the webpage, which is why it puts the folder there as well.
If it's a shortcut to a webpage when you are online, you can right-click the desktop, choose new - shortcut and type http://www.whatever.com into the location box.