From either Safari, Chrome, or Firefox, you can make one of these files (it will have a .webloc extension) easily. Just click and drag from any website element that gives you a hand cursor to your desktop or a Finder window. You'll get a file takes you straight to the website that the link lead to. Opening this file will open your default web browser to this website.
You can keep this in a folder, put it on your Desktop or in your Dock, or set it to open at login. To put it in your dock, just drag it there like any other file. To open it at login, go to the Login Items tab of the Accounts pane of System Preferences. Click the plus button and navigate to and select your file.
[crarko adds: This is an expansion to a previous hint. There are many other useful things that can be done with webloc files.]

