Microsoft has their own way of creating web shortcuts, .url files. In fact, all of Windows' Internet Explorer bookmarks are stored that way; all of them in a separate tiny file. Anyway, the format is pretty simple, nothing you can't write in TextEdit in a few seconds:
[InternetShortcut]
URL=http://www.macosxhints.com
Save it as something.url and you are done. The good thing about this is that Mac OS X/Safari also supports these .url links, or does it? This had me stumped for a good while: some of my .url files would work fine and load in Safari, while some would just open an empty Safari window without loading anything, even though the same file worked properly in Windows.
Here's the catch: don't forget to add a closing line feed at the end. Apparently Safari is picky about that and the lack of it will result in the aforementioned empty window.