Strange. There doesn't seem to be a way to do it. As a workaround you might want to try this. Go to the site you want to use as your home page, then hit the arrow to the right of the bookmarks icon. From the menu, select "add to home screen" and you will have an icon which will boot up Safari and direct it to your home page.
Sorry. That's the best I can do. I'm sure the option was there under iOS 4, but it seems to have disappeared under iOS 5.