You need VLF EPC141006 (or later) to use this feature.
This option attempts to create desktop icon or shortcut to launch the displayed URL using the chosen browser.
It is only usable for the Chrome, Firefox and Internet Explorer browsers.
Note: There are various arcane Windows rules related to who can create desktop items.
If the attempt to create the icon fails, copy the URL and then paste it into a manually created desktop item instead.