There isn't one. It's a function of Windows Explorer.
I did manage to make something similar from the command line....it was kind of cheating though. Have a look at the contents of any Internet Shortcut file with the extention .URL This is one of the few hidden extensions in Windows that doesn't show up except in the command line. You can create a shortcut which is to all intents and purposes a URL file, but it will approximately do what you want to do.
The best way to make a shortcut using commands is with Windows Script.