Windows 8 isn't clever. It's an OS. In IE select the tab, which has an icon, and select to favourites. Or if you've chosen to show the favourites bar select the tab and click on the star with the right facing green arrow. From the list from favourites or the favourites bar drag and drop to the desktop. If the page has the IE globe as an icon, such as this site, then it won't work.
iMac Pro review