How to programmatically create a shortcut using Win32

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.