Escaping characters in folder nme in Terminal

I've been learning about Terminal recently, and although I've learnt about the backslash, double quotes, single quote etc. for escaping characters, how would I create a folder with this name (it's on a VM in Parallels so if I screw anything up, it's not going to affect my main Mac OS X install).

I'm using Mac OS Sierra 10.12.2 in Parallels, same as my desktop, but that's a "sandbox" machine for testing software etc. without affecting the regular Mac – if it's sluggish or software crashes I'm not losing important files and can always reset it – theoretically. (The VM isn't used for writing this though… I'm using the regular Mac now. Probably not relevant, but I'm new-ish to Parallels, but that's for another question.).

I tried this command to create a directory with a web address as the name:

mkdir 'http://www.mysite.net' 

but got this error:

mkdir: http:: No such file or directory

How could I escape the : and // so a folder looks like a web URL even though it's not (this is for testing purposes, nothing more, as it's on a VM). How could i emulate those characters in a folder name?

If anyone could help I'd appreciate this!