How to create desktop icon that is a live URL

I am sure I'm overlooking something obvious and that this is a stupid question, but I can't figure out how to do something in OS X SL that is a snap in Windows: How do you create a desktop icon that is a "shortcut" to a web site URL, so that double-clicking the desktop icon causes the default browser to open to that page? All I can figure out is how to save a page to the desktop as an html file through the file menu. But that creates both the icon and a whole folder of other files and appears to just open a static (historical) document. Basically I am just wanting to make a "bookmark" to a single site right on my desktop. (It's my Delicious site where I keep all my bookmarks for all browsers on all devices.)