Creating windows links on Linux?

It's been a long time since the initial question, but I've had the same issue and found a solution.

I wrote an application whose goal is to allow anyone to create lnk files from any OS. I started writting it in bash and then I converted it in C (the sources are available).

It's still fresh, so except me nobody tested yet, but you can have a look here :
  http://www.mamachine.org/mslink/index.en.html