That depends on what exactly you mean by that. If you have a website and want your icon to be visible in the address bar or tab, look here. If you want to have a shortcut on your desktop and when you double-click it, it should open a web site, you can create a link and then change the icon in its properties or use this tool to create a tiny .exe that opens the web site.

adding a link to my new icon
Simple desktop *.ico
Hello I've searched these forums - but perhaps my question is just too simple! Where/how to connect my lovely new little icon with a URL?