Home screens on Android are not represented by file system folders, they are part of the launcher data, and shortcuts are not discrete files like in desktop OSes.
You can't just move them around by copying files like you would on windows.
If you want to move internet shortcuts to a thumbdrive then either export your browser bookmarks to an HTML file, or write them down in a text file instead.
Some launchers also offer the possibility of exporting or backing up settings to a file on the SD card, which may be helpful to move to a thumb drive. I doubt they will allow granular per-shortcut export though