Everybody knows how to do that! Well, I didn't for years so don't be such a smart-arris.
This is quite useful for websites you visit frequently (like this one, I hope). At the left hand end of the URL box at the top of the website page you'll see a symbol, usually a world globe but it can be a padlock. Grab that with a left click and hold, and don't let go until I tell you. Now drag it down to the bottom task bar (Vista) or the bottom right corner on the task bar (Windows 7). I'm not sure about XP but it's probably to anywhere on the bottom task bar. When you have done this the screen should go blank, revealing your Desktop. Without letting go, drag the thingy up onto the screen and release. Job done. Double click on it to access the site. You can drag & drop it to where you want it - left click and hold, drag to position and release.
Other files from your Documents folders can be moved to the Desktop as shortcuts. Right click on the file or document - Send to - Desktop (create shortcut). It will appear in the first available space down the left-hand side and can be dragged to wherever you want it.
Another useful trick when your Desktop gets full up is to create a folder to hold like items. Right click anywhere on the screen - New - Folder... and enter a title. You can then drag and drop Desktop items into the folder where they will appear in list form. Double click on any item in the folder to open it.