Athar's link points at code which shows you how to create a Shell link file (.lnk)
If you want to create an Internet shortcut, a .url file which points at a web site/page, the approach is similar. But you need to use CLSID_InternetShortcut with IObjectWithSite::SetSite rather than CLSID_ShellLink with IShellLink::set_Path (and set_Description). In both cases you write the link to disk via IPersistFile::Save.