In the past I had used a free home screen plugin called the rjShortcut.
But the site hosting the plugin does not seem to be active. Try doing a Google search for it.
This simple tool allowed you to put a line the one below to enable launching IE with a Web page.
<shortcut target="\Windows\iexplore.exe" args="http://wap.yahoo.com/" iconfile="rjicons.dll" iconindex="-198"/>