In Windows, and when using Gnome under Linux, you can create a shortcut to a web page simply by dragging the URL from Firefox to your desktop. However I have noticed that, despite what it says in the help text, when using Firefox from within either Kubuntu 6.10 (Edgy) or SuSE 10.0, dragging an icon from the location bar to the desktop (even when holding combinations of the Shift, Ctrl and Alt keys) just creates a text document rather than a link. To create the link you really want, these are the steps. (If you want to create icons for applications on your desktop, see this article. If you want to create desktop "system" icons such as ""My Computer", "Trash" and "Printers" see this article.)
If you are using Konqueror as your browser, or if you are using Gnome rather than KDE, creating desktop URL links is handled much more like it is in Windows. For example, here are the steps for Konqueror.
(If you hold the Shift and Ctrl keys while you drag, KDE just creates the link without asking.)
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