After Windows Explorer opens, in the right window pane, right click and select New / Shortcut
In the "Type the location of the item" enter the Web Site URL you want to create. An example would be (without quotes) "http://my.opera.com/piyushssb/"
Click Next
In the "Type a name for this shortcut:" enter a name for the link that you want to display in the Start menu.
Click Finish
Now click on the Start menu and you will see the new link you just created. Click on it and it will open up to the website.