How make an Internet shortcut?

I'd like to put a few of my frequently used shortcuts in a virtual folder. How do I do this? Also, suppose I want to have a button represent an Internet shortcut. How do I do this?

There are two ways:
1) right-click toolbar/menu select "New" submenu and click "Shortcut". You can type the internet address on the first page of wisard
2) Drag the shortcut from the Internet Explorer or Firefox and drop it on TLB