What do you mean windows files??

to any windows folder

URL can't be copied to folder unless it's to notepad or office as a text file. What your asking is confusing unless you can give steps of what your doing.

As an "Internet Shortcut"

Found the answer on this site: Create a desktop shortcut to a website Firefox Last updated: 6/19/22 41% of users voted this helpful

You can use Firefox to create a shortcut on your computer's desktop to a page you've visited:

   Resize the Firefox window so you can see both your computer's desktop and the Firefox window on the same screen.
   Click the padlock icon on the left of the address bar (where the URL is shown).

   Lock89addressbar

   While still holding the mouse button down, move the pointer to the desktop, then release the mouse button. The shortcut will be created.

So you didn't search and find this?

https://support.mozilla.org/en-US/kb/create-desktop-shortcut-website#:~:text=Click%20the%20padlock%20icon%20on,The%20shortcut%20will%20be%20created.