What are you right-clicking on?

Have you tried clicking Start
click All programs
find the program you wish to create the desktop icon for
right click on it
click Send to
Then you will see the option to create a desktop shortcut, click that and you should be good to go

I'm trying to short cut a web site I visit everyday.

why not just put it in your browser favorites or bookmarks or on the bookmark toolbar of your browser? You will have to have your browser open any way to go to the website.
If we knew which browser you were using we could give you some instructions.
are you using IE or firefox and which version?

I put my daily sites on my favorites toolbar on my browser and just click that to go to that page.

The easiest way in Firefox and Yahoo! is to go to the site you want, re-size the window so you can see the Desktop, and then right-click, and hold and drag the icon in the address bar (the one to the left of the site address) onto the Desktop. However, I find this to be a less-than-desireable approach to frequently visited sites. Any site I visit daily is just bookmarked and put on my Bookmarks Toolbar across the top of my Firefox browser. That way I don't have any extra clicks getting to the Desktop to find a shortcut. I display them alphabetically, and I've shortened the names to 5-6 letters each so I have room for about 30 or so.

Thanks I will bookmark them instead.

goldy-
I think you will come to prefer that. Sometimes the Bookmarks for some web sites have very long names and take up a lot of space on the Bookmarks Toolbar, but they can be easily edited to something short. If you need directions on how to do this, just re-post and mention the browser you are using.