You can definitely do that; see the "Create shortcuts for other apps" section of this help page[1]. You can make a shortcut that can be used like any other Windows shortcut (say, in the quicklaunch), it takes on the icon of the page's favicon (both the shortcut icon and the window's icon), and it launches in its own window.
Also, see here[2] for additional options (like auto-maximize support).
http://developer.chrome.com/apps/about_apps.html