In IE versions prior to IE9, if you drag the address from the address bar onto the desktop, it would create a shortcut to the site on the desktop.
Now in IE9 (RTM), if you do the same, it still creates the shortcut but then closes the tab and re-opens it into a new instance of IE9 (???). Interestingly, once it does this, you can't drag the tab back into the original IE9 instance. Somehow that tab is not compatible. Now if you dragged the tab out into a new instance of IE9, then you would be able to drag it back again into the original IE9 instance.