Do you mean a desktop link to a web page, in icon form?
I have a link to 'Kelly's Korner' for example, on my desktop, where I just click on the icon (which can be anything I choose to portray) as the important factor is that it opens the site with one click. Is this what you want to do, or do you want a 'thumbnail' example of he web site to show?
I am trying to find a way to display web pages in thumbnail view on the windows xp desktop. Something that would keep the pages updated periodically. Or display links and have a thumbnail in a tool tip pop up.
Any other suggestions you might have towards keeping them on the desktop and not rummaging through the start menu would be greatly appreciated.