You may ask why do would anyone would want to do that since you can simply use bookmarks. Well the difference is bookmarks only exist in Chrome while shortcut 'apps' can be pinned anywhere in Windows like in start menu, taskbar etc. And it has its own little icon that make it look like a real app.
Below are the steps.
1. Go to any website you want to create a shortcut, then click on Chrome Settings > More Tools > Create shortcut
2. You can edit the name if you want to. Select Open as window then click Create.
3. Once you do that, a new window will open and the shortcut will appear in your Windows 10 start menu as shown below. You can pin it to your start menu and/or taskbar.
As you can see each one of those shortcuts has its own individual nifty icon as well.