The first way is to open the website in Safari and drag the url from the address bar to the desktop.

However, modifying the URL might be useful so there is another way:

  1. Open TextEdit
  2. Create a new file
  3. In the file, add the following:
  4. [InternetShortcut]
  5. Save the file in .rtf (the default TextEdit file extension)
  6. On the file in the finder (or desktop), option click and choose “Get Info”
  7. In “Name & Extension”, change .rtf to .url, press enter and confirm clicking on “Use .url”

Your link is now ready to use.