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From there, open the web page you want and copy the text in the URL box. Right click this box and select "Copy" in the drop down menu or use the shortcut Ctrl+C. By clicking "Explore", a window for the Start Menu will open up. This is where you'll enter the URL you wish to use as a shortcut. Right click in the Explorer window. In the menu that appears, hover over "New". Select "Shortcut" from the secondary menu. A dialogue box to create your shortcut will open. Click the text box under 'Type the location of item'. Paste the URL you copied earlier into this box. Press "Next". Use an appropriate name that will help you easily identify your shortcut. This will close the Shortcut dialogue menu and bring you back to your Desktop. Now when you open the Start Menu, the URL shortcut should be there.
Open the web browser of your choice. Right click on the start button and select "Explore". Create a new shortcut. Enter the desired URL into the text box. Give your shortcut a unique name. Click "Finish". You're done!