Jan 27 at 12:28 PM
wix has some property called internetshortcut
<util:InternetShortcut Id="OnlineDocumentationShortcut"
                        Name="My Online Documentation"
is it not available in Wix#?
Jan 27 at 11:15 PM
Edited Jan 28 at 12:12 AM
InternetShortcut as some other non-mainstream WiX elements is supported via custom user defined code elements. The whole InjectXML sample is dedicated to the technique.

In your case you need to define a little InternetShortcut class and then use it in the project declaration:
var project =
    new Project("MyProduct",
        new Dir(@"%ProgramFiles64Folder%\My Company\My Product",
            new InternetShortcut
                Id = "OnlineDocumentationShortcut",
                Name = "My Online Documentation",
                Target = ""
public class InternetShortcut : WixEntity, IGenericEntity
    new public string Id;
    new public string Name;
    public string Target;

    public void Process(ProcessingContext context)
        //reflect new dependency

        //serialize itself and add to the parent component
               .Add(this.ToXElement(WixExtension.Util, "InternetShortcut"));
The Wix# strategy is to include (into the distribution) direct support for the less popular/frequent elements only in response to the user demand. If you feel that support InternetShortcut needs to be available directly (out of box) then please log the feature request on the project home page:

UPDATE: I've already done it on your behalf: