Создание ссылки

Тогда уж ярлык создать, а не ссылку. Вот пример из справки BCB:

// CreateLink - uses the shell's IShellLink and IPersistFile interfaces
// to create and store a shortcut to the specified object.
// Returns the result of calling the member functions of the interfaces.
// lpszPathObj - address of a buffer containing the path of the object
// lpszPathLink - address of a buffer containing the path where the
// shell link is to be stored
// lpszDesc - address of a buffer containing the description of the
// shell link


HRESULT CreateLink(LPCSTR lpszPathObj,
LPSTR lpszPathLink, LPSTR lpszDesc)
{
HRESULT hres;
IShellLink* psl;

// Get a pointer to the IShellLink interface.
hres = CoCreateInstance(&CLSID_ShellLink, NULL,
CLSCTX_INPROC_SERVER, &IID_IShellLink, (void**)&psl);
if (SUCCEEDED(hres)) {
IPersistFile* ppf;

// Set the path to the shortcut target, and add the
// description.
psl->lpVtbl->SetPath(psl, lpszPathObj);

psl->lpVtbl->SetDescription(psl, lpszDesc);

// Query IShellLink for the IPersistFile interface for saving the
// shortcut in persistent storage.
hres = psl->lpVtbl->QueryInterface(psl, &IID_IPersistFile,
&ppf);

if (SUCCEEDED(hres)) {
WORD wsz[MAX_PATH];

// Ensure that the string is ANSI.
MultiByteToWideChar(CP_ACP, 0, lpszPathLink, -1,
wsz, MAX_PATH);


// Save the link by calling IPersistFile::Save.
hres = ppf->lpVtbl->Save(ppf, wsz, TRUE);
ppf->lpVtbl->Release(ppf);
}
psl->lpVtbl->Release(psl);
}
return hres;
}