set TARGET='[Exactpath to folder or exe]' #Must be in quotes if it contains spaces
set SHORTCUT='[path to where you want the shortcut].lnk' #Example: C:\Users\Public\Desktop\New.lnk
powershell.exe -Command "$ws = New-Object -ComObject WScript.Shell; $S = $ws.CreateShortcut(%SHORTCUT%); $S.TargetPath = %TARGET%; $S.Save()"
This is from the days prior to using psremote for most things and was still limping along with telnet, so its writen to work in windows from cmd.exe or from a batch file. Final heavy lifter is a a powershell cal to wscript.shell