Ya he encontrado la solucion.
Es la siguiente:
Dim WshShell as Object, strDesktop as Object, oShellLink as Object
set WshShell = WScript.CreateObject("WScript.Shell")
strDesktop = WshShell.SpecialFolders("Desktop")
set oUrlLink = WshShell.CreateShortcut(strDesktop & "\Microsoft Web Site.url")
oUrlLink.TargetPath = "http://www.microsoft.com"
oUrlLink.Save
Chao