Mozilla Prism (formerly WebRunner) by Mozilla Labs featured the "Create application shortcut" in Firefox:
Mozilla Prism (formerly WebRunner) is a product which integrates web
applications with the desktop, allowing web applications to be
launched from the desktop and configured independently of the default
Users can manually create web applications using
Tools > Convert
Website to Application.
However, since November 2010, Prism is listed as an inactive project at the Mozilla labs website. On February 1, 2011, Mozilla labs announced it would no longer maintain Prism.
There were several alternatives to Prism, but it seems that all of them have been discontinued and are no longer active or available for download.
In the following question: Why is Firefox Prism not in the repositories anymore?, there are two useful answers, regarding the discontinue of Prism and possible alternatives and solutions.
It was mentioned that web application support in Firefox is currently in progress. Also, some workarounds have been suggested.