If you are talking about an Internet Shortcut you might do the following: [LIST=1]
Go to System Configuration | INI File Changes
Right click INI Files and choose Import INI File... to import a sample .url file (e.g. MyApp.url or just choose Add INI File to create your own MyApp.url)
(MyApp.url) - Set the Component property to the component that represents your application and set the Target property, e.g. [DesktopFolder]
(MyApp.url) - Right click to add a section with the name InternetShortcut
(InternetShortcut) - Right click to add the keywords IconFile, IconIndex and URL
(IconFile) - in the Data Value property enter the location for the icon file, e.g. [INSTALLDIR]myicon.ico
(IconIndex) - in the Data Value property enter the icon index, typically 0
(URL) - in the Data Value property enter the url, e.g. http://localhost/[MYAPP]/index.htm (just used a Property here for runtime modification as a sample)
This approach works for me, so if this is what you are looking for ... enjoy.
