This might be an acceptable workaround, although it does not create an IE Favorite. The approach is to install a *.url file which will open the website when double-clicked, and supply a shortcut to that file.
Lesson Learned: How to make a shortcut that launches the browser and sends it to a specific website.
1. Create a *.txt file, say MyWebsite.txt
2. Open the *.txt file in Notepad, and enter this:
[InternetShortcut] URL=http://www.microsoft.com
3. Modify the extension of the file; rename it as MyWebsite.url
4. Now when you double-click this shortcut, the "default browser" (Internet Explorer or anything other browser) will launch and go to the specified website.
