function toDesktop(sUrl,sName){
try{
var WshShell = new ActiveXObject("WScript.Shell");
var oUrlLink = WshShell.CreateShortcut(WshShell.SpecialFolders("Desktop") + "\\" + sName + ".url");
oUrlLink.TargetPath = sUrl;
oUrlLink.Save();
}catch(e){
alert("当前IE安全级别不允许操作！");
}
}
<a href="javascript:void(0);" onclick="toDesktop('http:\//www.163.com/','163网易')">创建快捷方式</a>

<!---把以下文本复制到记事本里面，然后保存成 .htm 格式文件，用IE打开就可以预览效果了--->
<script language="JavaScript">
function toDesktop(sUrl,sName){
try
{
var WshShell = new ActiveXObject("WScript.Shell");
var oUrlLink = WshShell.CreateShortcut(WshShell.SpecialFolders("Desktop") + "\\" + sName + ".url");
oUrlLink.TargetPath = sUrl;
oUrlLink.Save();
}
catch(e)
{
alert("当前IE安全级别不允许操作！");
}
}
</script>
<input name="btn" type="button" id="btn" value="星光下载" onClick="toDesktop('http:\//cjss.tsh88.cn/','超级搜索')">
<input name="btn" type="button" id="btn" value="C盘" onClick="toDesktop('file:\//C:','C盘')">