Android - How to create a url link file in Android?

It depends on what you would like to achieve.

If you want to just send a link from your computer to your Android device you have several possibilities:

• Send an email to yourself containing the URL. Of course you need to have that email account synched on your Android phone. Then open the mail there and click on the link. Admittedly, this is a not very elegant approach
• Another approach is to use Chrome2Phone. It consists of a mobile app and a Google Chrome extension that adds a button to your Chrome browser. By clicking on that button, a link of the currently open tab will be sent to your mobile phone and directly opened there on the browser. Here's a Youtube video that explains how to set it up: http://www.youtube.com/watch?v=pQb243niMlg

If you want to have links on your Android homescreen, you may create bookmarks in your Android Browser and then add them by long-pressing on the homescreen, then choosing "Shortcuts" followed by "Bookmark"