How to programmatically create a shortcut using Win32

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Try Windows Shell Links. This page also contains a C++ example. Descriptive Snippet:

Using Shell Links

This section contains examples that
demonstrate how to create and resolve
shortcuts from within a Win32-based
application. This section assumes you
are familiar with Win32, C++, and OLE
COM programming.

EDIT: Adding the code sample in case the link dies (and MSDN links do die often.)

// 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. 
//
// Parameters:
// lpszPathObj  - Address of a buffer that contains the path of the object,
//                including the file name.
// lpszPathLink - Address of a buffer that contains the path where the 
//                Shell link is to be stored, including the file name.
// lpszDesc     - Address of a buffer that contains a description of the 
//                Shell link, stored in the Comment field of the link
//                properties.

#include "stdafx.h"
#include "windows.h"
#include "winnls.h"
#include "shobjidl.h"
#include "objbase.h"
#include "objidl.h"
#include "shlguid.h"

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

    // Get a pointer to the IShellLink interface. It is assumed that CoInitialize
    // has already been called.
    hres = CoCreateInstance(CLSID_ShellLink, NULL, CLSCTX_INPROC_SERVER, IID_IShellLink, (LPVOID*)&psl); 
    if (SUCCEEDED(hres)) 
    { 
        IPersistFile* ppf; 

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

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

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

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

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

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