It seems that there is not a direct way to create a shortcut from the command line in Windows. The solution presented here takes less than two minutes to set up and works pretty good. However, if you find a better one, I would like to know.
First you have to create a small text file by the name mkshortcut.vbs. Use your favorite text editor to edit the file, even notepad will do. Then copy the following text and paste it into the file:
set WshShell = WScript.CreateObject("WScript.Shell" )
set oShellLink = WshShell.CreateShortcut(Wscript.Arguments.Named("shortcut") & ".lnk")
oShellLink.TargetPath = Wscript.Arguments.Named("target")
oShellLink.WindowStyle = 1
Then save the file and exit the editor. Make sure that you move the file in a directory in your PATH (usually C:\WINDOWS\System32 is fine). Now, from the command line you can create shortcuts this way:
mkshortcut /target:TargetName /shortcut:ShortcutName
You will have to replace TargetName with the name of the target file and ShortcutName with the name of the shortcut to be created (do not include a .lnk extension!). For example:
C:\>mkshortcut /target:"c:/documents and settings/giannis/desktop" /shortcut:"My Desktop"
Volume in drive C has no label.
Volume Serial Number is 70FC-EBB4
Directory of C:\
12/03/2008 11:12 AM 453 My Desktop.lnk
1 File(s) 453 bytes
0 Dir(s) 46,659,989,504 bytes free
Make sure that in target you include the full path of the target file name, starting with the drive letter and going down. For some reason Windows seem unable to create shortcuts with a relative path. Always use absolute paths for target.