Creating shortcut for access form

I have an access db up on a web server for my clients' website.

Now however, I've created a form in access and I want to place a shortcut to this database on my clients desktop.

I've tried creating a shortcut by doing the following but it didn't work:
-I right-clicked on the form and selected 'Create Shortcut'.
-Next, I checked the box that reads 'This Database is on the Network'.
-Finally, I typed in the url of the database on the server ('http://www.mysite.com/DB/myDatabase.mdb')

When I try to open this shortcut however, it's unable to find the database. Can this be done? If so, what am I doing wrong?

Thanks in advance.

-Goalie35