Ok, so I'm having trouble following exactly what you want to do here. You want to double click a .lnk that points to a file, and instead open the folder where that file resides?

I believe you can do that with IFileDialog.

You should be able swap the vtable in IFileDialogEvents_OnFileOK to a Function where you can return a non-zero value that will block the dialog from closing (you'd obviously want to examine the file chosen to see if it's a link before that), identify the target folder yourself, then initiate a navigation action with .SetFolder. You can use IFileDialogCustomize to add a checkbox to toggle it too.

It's a lot of work just to avoid right-click the shortcut and selecting 'Open file location', which opens it in the current dialog, but I'm no stranger to going through extraordinary lengths just on principle over something like this. Old thread so I don't know if you're still interested, but if you are... let me know I'll give it a shot.