Shortcut to website on desktop

1. How do I put a shortcut to a website on my desktop.
2. Also, when I d/l a program, there is a link next to it in the start menu to the home page. It connects when I have a browser window open. when there is no window open already, I get an error message. Is this normal behavior?
   

thanks in advance
Mark

I love my Dell Dimension E310
XP Media Center