If you already have the site bookmarked in either Firefox or Internet Explorer, click on the Favorites/Bookmarks menu to open up the menu, scroll down to the favorite/bookmark, RIGHT-CLICK on the favorite/bookmark and select copy. Open up your USB drive, right click on an empty spot, and select “Paste” or “Paste Shortcut.” You’ll end up with an icon that you can double-click to go directly to the website.

You can also open up your USB drive, right-click on a blank area, select New->Shortcut from the menu that appears, enter the website's URL in the location field and hit next, name the shortcut something useful to you and hit Finish.