How to make a shortcut from CMD?

There is some very useful information on this site: http://ss64.com/nt/shortcut.html

Seems like there is some shortcut.exe in some resource kit which I don't have.
As many other sites mention, there is no built-in way to do it from a batch file.

But you can do it from a VB script:

Optional sections in the VBscript below are commented out:

Set oWS = WScript.CreateObject("WScript.Shell")
sLinkFile = "C:\MyShortcut.LNK"
Set oLink = oWS.CreateShortcut(sLinkFile)
    oLink.TargetPath = "C:\Program Files\MyApp\MyProgram.EXE"
 '  oLink.Arguments = ""
 '  oLink.Description = "MyProgram"   
 '  oLink.HotKey = "ALT+CTRL+F"
 '  oLink.IconLocation = "C:\Program Files\MyApp\MyProgram.EXE, 2"
 '  oLink.WindowStyle = "1"   
 '  oLink.WorkingDirectory = "C:\Program Files\MyApp"
oLink.Save

So, if you really must do it, then you could make your batch file write the VB script to disk, invoke it and then remove it again. For example, like so:

@echo off
echo Set oWS = WScript.CreateObject("WScript.Shell") > CreateShortcut.vbs
echo sLinkFile = "%HOMEDRIVE%%HOMEPATH%\Desktop\Hello.lnk" >> CreateShortcut.vbs
echo Set oLink = oWS.CreateShortcut(sLinkFile) >> CreateShortcut.vbs
echo oLink.TargetPath = "C:\Windows\notepad.exe" >> CreateShortcut.vbs
echo oLink.Save >> CreateShortcut.vbs
cscript CreateShortcut.vbs
del CreateShortcut.vbs

Running the above script results in a new shortcut on my desktop:

Here's a more complete snippet from an anonymous contributor (updated with a minor fix):

@echo off
SETLOCAL ENABLEDELAYEDEXPANSION
SET LinkName=Hello
SET Esc_LinkDest=%%HOMEDRIVE%%%%HOMEPATH%%\Desktop\!LinkName!.lnk
SET Esc_LinkTarget=%%SYSTEMROOT%%\notepad.exe
SET cSctVBS=CreateShortcut.vbs
SET LOG=".\%~N0_runtime.log"
((
  echo Set oWS = WScript.CreateObject^("WScript.Shell"^) 
  echo sLinkFile = oWS.ExpandEnvironmentStrings^("!Esc_LinkDest!"^)
  echo Set oLink = oWS.CreateShortcut^(sLinkFile^) 
  echo oLink.TargetPath = oWS.ExpandEnvironmentStrings^("!Esc_LinkTarget!"^)
  echo oLink.Save
)1>!cSctVBS!
cscript //nologo .\!cSctVBS!
DEL !cSctVBS! /f /q
)1>>!LOG! 2>>&1

Here's a similar solution using powershell (I know, you can probably re-write your whole batch file in PS, but if you just want to Get It Done™...)

set TARGET='D:\Temp'
set SHORTCUT='C:\Temp\test.lnk'
set PWS=powershell.exe -ExecutionPolicy Bypass -NoLogo -NonInteractive -NoProfile

%PWS% -Command "$ws = New-Object -ComObject WScript.Shell; $s = $ws.CreateShortcut(%SHORTCUT%); $S.TargetPath = %TARGET%; $S.Save()"

You may have to explicity specify the path to PS in your file, but it should work. There are some additional attributes you can mangle through this object, too:

Name             MemberType Definition                             
----             ---------- ----------                             
Load             Method     void Load (string)                     
Save             Method     void Save ()                           
Arguments        Property   string Arguments () {get} {set}        
Description      Property   string Description () {get} {set}      
FullName         Property   string FullName () {get}               
Hotkey           Property   string Hotkey () {get} {set}           
IconLocation     Property   string IconLocation () {get} {set}     
RelativePath     Property   string RelativePath () {set}           
TargetPath       Property   string TargetPath () {get} {set}       
WindowStyle      Property   int WindowStyle () {get} {set}         
WorkingDirectory Property   string WorkingDirectory () {get} {set} 

Besides shortcut.exe, you can also use the command line version of NirCmd to create shortcut. http://nircmd.nirsoft.net/shortcut.html