Here is one way to do that: http://www.ehow.com/how_2258517_put-websites-shortcut-desktop.html
The other thing you can do is make it a Favorite in Internet Explorer so that after you have opened Internet Explorer you can just click on it on the Favorites Bar:
- Open Internet Explorer and get to Facebook the way you have been doing it (i.e., via Google)
- Right-click in the blank area immediately above the Back button and put a check mark beside Favorites Bar if one is not already there.
- While on the Facebook site, click on the star-shaped icon with a green arrow that is on the left end of the Favorites Bar near the top of your screen
- Next time you want to go to Facebook, open Internet Explorer and click on the icon that you placed on the Favorites Bar.