If you want to create a web link to something in the iTunes store -- either a song, album, artist, application, or whatever, you can do this by right-click, or holding down the Control key on the keyboard and left-clicking, on the link/object in the iTunes store. When you do this you'll get a menu with an option to "Copy iTunes Store URL". Select this and it'll create a link for you and put it on the clipboard. You can then paste it to where ever you want the link to show up.