Your question defies interpretation, but if you mean that you know or
the address of a file on your local network, open it in Windows Explorer
and right click on the item. Choose Create Shortcut from the menu. That
also works for pathnames on your computer.
If you mean that you know the URL of a web site, go there and drag the
address from the location bar of your browser to the desktop. That works
in Firefox. (You have to grab the icon just to the left of the URL
text.)