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This example shows, how to create your own link to Notepad. This link will have a 'MyNotePad.lnk' name and 'c:\MyNotePad.lnk' path. Use IShellLink interface and SetArgument, SetDescription and SetPath functions of this interface to set options of this link.

procedure CreateLink(const PathObj, PathLink, Desc, Param: string);
var
  IObject: IUnknown;
  SLink: IShellLink;
  PFile: IPersistFile;
begin
  IObject:=CreateComObject(CLSID_ShellLink);
  SLink:=IObject as IShellLink;
  PFile:=IObject as IPersistFile;
  with SLink do
  begin
    SetArguments(PChar(Param));
    SetDescription(PChar(Desc));
    SetPath(PChar(PathObj));
  end;
  PFile.Save(PWChar(WideString(PathLink)), FALSE);
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  CreateLink('c:\windows\notepad.exe','c:\MyNotePad.lnk','','');
end;