ابتدا روی پروژه کلیک راست کرده، Add Reference و در Tab مربوط به COM مورد Windows Script Host Object Model را اضافه نمایید. سپس :

using IWshRuntimeLibrary;
public static void CreateShortcut(string destination)

{

    WshShell wshShell = new WshShell();

    object destFolder = (object)destination;

    string fileName = Path.Combine(

        (string)wshShell.SpecialFolders.Item(ref destFolder),

        "Notepad.lnk"

    );

    IWshShortcut shortcut =

        (IWshShortcut)wshShell.CreateShortcut(fileName);

    shortcut.TargetPath = Path.Combine(

        Environment.GetFolderPath(Environment.SpecialFolde  r.System),

        "notepad.exe"

    );

    shortcut.WorkingDirectory =

        Environment.GetFolderPath(Environment.SpecialFolde  r.Personal);

    shortcut.Description = "Notepad Text Editor";

    shortcut.Hotkey = "CTRL+ALT+N";

    // Configure Notepad to always start maximized.

    shortcut.WindowStyle = 3;

    // Configure the shortcut to display the first icon in Notepad.exe.

    shortcut.IconLocation = "notepad.exe, 0";

    shortcut.Save();

}
نحوه ی استفاده :
CreateShortcut("Desktop");

CreateShortcut("StartMenu");
منبع : Visual C#‎ 2005 Recipes: A Problem-Solution Approach

یک مثال دیگر : http://www.codeproject.com/KB/dotnet/shelllink.aspx