One of the new features in Windows 7 was the ability to “Pin” websites to the desktop. Microsoft carried this feature over to Windows 8, but it’s still contrary to how some people work. Fortunately, website “pinning” it’s easy to disable. Let’s take a look.
This guide doesn't work in Windows 8 Home Edition do to the lack of gpedit. See How to Disable Website Pinning in Windows 8 Home Edition for a registry hack that disables website pinning.
Move your mouse to the lower left corner of the screen, right click, and select Run
Type gpedit.msc and click OK to open the Local Group Policy Editor
Under User Configuration, expand Administrative Templates, Windows Components, and Internet Explorer
Scroll to the bottom of the Local Group Policy Editor and double click on Turn off ability to pin sites in Internet Explorer on the desktop
In the Turn off ability to pin sites in Internet Explorer on the desktop window click the Enabled radio button and click OK
Close the Local Group Policy Editor and now when you drag websites from the address bar in Internet Explorer to the desktop or a folder you’ll have good old Internet shortcuts.