Unfortunately the shop.LEGO.com website has a number of issues, and the fact that all transactions are handled server-side and not bookmarkable on the client is one of them (this might be intentional on behalf of LEGO but I don't know why). Other issues are that from time to time the website will refuse to display search results (it will just show you the home page of the shop if you do), or that the navigation buttons at the bottom of a category listing ("View: 25 | 1 | 2 | 3 >") take you back to the home page. For those the best solution is to either close your browser and open a fresh browser, or to use the Private Browsing/Incognito Browsing options of your browser to simulate creating a new session.
For background, the shop.LEGO.com uses Java Server Pages (jsp) which store their status in a cookie and in server-side maintained information. So when you navigate, your browser does not know where you've gone to - only LEGO's server knows. This all works fine as long as you have an active session with LEGO, but as soon as your session expires (e.g. when you bookmark a specific place on the site and revisit that bookmark a few days/hours later) all that information is lost.
TL;DR: No you cannot save a direct link to a page on shop.LEGO.com as that site is programmed to store link information on the server, not in the client (as a browser URL).