Start > All Programs > Accessories > Notepad.

Paste the following:

[HKEY_CLASSES_ROOT\CLSID\{2559a1f6-21d7-11d4-bdaf-00c04f60b9f0}]
@="WEBSITE"

[HKEY_CLASSES_ROOT\CLSID\{2559a1f6-21d7-11d4-bdaf-00c04f60b9f0}\DefaultIcon]
@="%SystemRoot%\\system32\\shell32.dll,-47"

[HKEY_CLASSES_ROOT\CLSID\{2559a1f6-21d7-11d4-bdaf-00c04f60b9f0}\Instance\InitPropertyBag]
"CLSID"="{13709620-C279-11CE-A49E-444553540000}"
"method"="ShellExecute"
"Command"="WEBSITE"
"Param1"="http://WEBSITE.com"

replace "website" with the link you want.

Now save it as website.reg