How to create an index.html page with a web address
If you are determined to use an HTML file, you can create one with a text editor (e.g. the built-in TextEdit; make sure you use the Plain Text view rather than the Rich Text which is the default).

Your HTML file should contain a so-called meta-refresh tag for this:

&lt;meta http-equiv="refresh" content="0; url=http://www.example.com/" /&gt;


The page will automatically redirect upon loading.

Alternatively, because this sounds like an XY-problem: create a shortcut to the page on your Desktop, as described by Joonas.