Well those *lnk's are real bastards....
There binaries wich make them hard to generate...

There is a way to generate them though:
Code:
Private Declare Function fCreateShellLink Lib "Vb5stkit.dll" (ByVal _
       lpstrFolderName As String, ByVal lpstrLinkName As String, ByVal _
       lpstrLinkPath As String, ByVal lpstrLinkArgs As String) As Long
As you can see it requires Vb5stkit.dll.
I tried doin it with Vb6stkit.dll but that doesn't work.
Also put the dll in your app.path...

Hope this helps