In your browser, go to Website in question.
Firefox: There is a little globe icon that appears to the left of "www" in the address bar. Click and drag it to the desktop
Chrome: There is a little page icon to the left of "www" in the address bar. Click and drag it to the desktop.
IE: There is a little icon (either a page with the E logio, or the favicon for the site) to the left of "www" in the address bar. Click and drag it to the desktop.