You can make a short-cut to do it. But you need to short-cut to open hlds.exe and not hl.exe. And then you add to the end the things you want to be on the server, such as which map and number of players.
Example: C:\Sierra\Half-Life\hlds.exe -game esf -port 27015 +maxplayers 10 +map esf_namek
So the first part is the path to hlds.exe, which is in the HL folder. Second is the game, the port, the number of players, and the map.