The easiest way would probably be to create a script.

Here's what you do:
Either create a .sh (script) or a empty text file. Either should do. Now edit the file and put in the following:

#!/bin/sh
firefox -url http://where.you.want.it.to.go

and save. Now right click the file, go to properties and set it as executable, click OK and your done.

You could also try creating a shortcut, then use the firefox -url website trick with it.

Trixar_za,

It works! Thank you.

About "You could also try creating a shortcut, ... ", could you please tell how?

Thanks.

Well, you can copy shortcuts from the Menu over to your desktop. If you have the lxshortcut package installed, you could then edit the path of those shortcuts and change it to firefox -url website if you want. You could also try changing it using a text editor like leafpad, but it's a little tricker.

Follow tutorial for firefox shortcut: http://peppermintos.net/viewtopic.php?f=21&t=236
Replace
Exec=firefox %u
with
Exec=firefox -url http://where.you.want.it.to.go