SHORTCUT.exe (NT Server Resource Kit)

Create a windows shortcut (.LNK file)

Syntax
      SHORTCUT [options]

Key
   Source options
   -t target    : The path and file name of the application/document to open.
   -a arguments : The arguments passed when the shortcut is used.
	-d directory : The folder to start the application in.
   -i iconfile  : The file the icon is in.
   -x index     : The index into the icon file.

   options for the shortcut file to be created

   -n name      : The path and file name (.LNK) of the shortcut file.
   -c           : Change existing shortcut.
   -r           : Resolve broken shortcut.
   -f           : Force overwrite of an existing short cut.
   -s           : Make shortcut simple (don’t use LinkResolve)

   Export options
   -u [spec]    : ECHO the contents of an existing shortcut. 
                  'all' is the same as 'natdix' but the letters 
                  of 'natdix' specify the options to be exported
				   (the same option can be specified more than once
					e.g. -u natn)
   -l logfile   : Save any error messages in the specified file

If shortcut.exe fails to create a new shortcut, it does NOT set an errorlevel.

Example

   @ECHO off 
   MD %userprofile%"\start menu\programs\MY APP"
   SHORTCUT -f -t C:\MyApp.exe -n %userprofile%"\start menu\programs\MY APP\MY APP"

An alternative for Windows XP and above, is to use VBScript, call the VB script with cscript like so:
CSCRIPT C:\myshortcut.vbs

Optional sections in the VBscript below are commented out:

   Set oWS = WScript.CreateObject("WScript.Shell")
   sLinkFile = "C:\MyShortcut.LNK"
   Set oLink = oWS.CreateShortcut(sLinkFile)
   
   oLink.TargetPath = "C:\Program Files\MyApp\MyProgram.EXE"
   '	oLink.Arguments = ""
   '	oLink.Description = "MyProgram"
   '	oLink.HotKey = "ALT+CTRL+F"
   '	oLink.IconLocation = "C:\Program Files\MyApp\MyProgram.EXE, 2"
   '	oLink.WindowStyle = "1"
   '	oLink.WorkingDirectory = "C:\Program Files\MyApp"
   oLink.Save

Shortcut: NTFS file system tracking

If a shortcut to a file breaks because the destination file has moved, then by default Windows will attempt to automatically locate the shortcut destination by performing a search (this only applies to NTFS partitions). To turn this off - add a DWORD value of 1 to the registry:

HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
NoResolveTrack=1

Shortcut: Auto LinkResolve

By default shortcuts will include the destination machine, even for a target like C:\MyFile.doc
This is not immediately visible until the shortcut.LNK file is copied to another machine, the shortcut target will then be automatically updated to point back to \\Machine1\c$\MyFile.doc
To turn this behaviour off use shortcut.exe -s or add a DWORD value of 1 to the registry (before creating the shortcut):

HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
"LinkResolveIgnoreLinkInfo"=1

Favourites
Often confused with shortcuts, Internet Explorer Favourite (.URL) files are simple text files which you can create with a few ECHO statements.

“The reasonable man adapts himself to the world: the unreasonable one persists in trying to adapt the world to himself. Therefore all progress depends on the unreasonable man” ~ George Bernard Shaw

Related:

MD - Create folder(s)
Slow Network browsing (XP)
FSUTIL - Create a Hardlink
Q158682 - Shortcuts created resolve to UNC Path (Link Tracking)
Q150215 - Disable Automatic Shortcut Resolution
Q254493 - Shortcut.exe fails with sub-folder names.
Q263324 - Shortcut.exe truncates path names.
Equivalent bash command (Linux):symlink - Make a new name for a file, ln - Make links between files