How to Create Shell Link 

// Shows how to create Shell Link
unit SL_Unit;
interface
uses

uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms, Dialogs,
  OLE2, ShlObj, StdCtrls;
type
  TForm1 = class(TForm)
    Button1: TButton;
    Edit1: TEdit;
    procedure Button1Click(Sender: TObject);
    procedure Abort(Text : String);
  private
    { Private declarations }
  public
    { Public declarations }
  end;
var
  Form1: TForm1;
implementation
{$R *.DFM}
procedure TForm1.Button1Click(Sender: TObject);
var
 sPath  : Array[0..MAX_PATH] of Char;
 Path   : String;
 HRes   : HRESULT;        // OLE-Operation Result
 SL     : IShellLink;     // Interface for ShellLink
 PF     : IPersistFile;   // Interface for PersistentFile
begin
 GetWindowsDirectory(sPath, MAX_PATH);
 Path := StrPas(sPath);
 Path := Path + '\DESKTOP\';
 Edit1.Text := Path;
 CoInitialize(Nil);
 HRes := COCreateInstance(CLSID_ShellLink, Nil, CLSCTX_INPROC_SERVER,
                          IID_IShellLink, SL);
 If Succeeded(HRes) Then
  Begin
   HRes := SL.QueryInterface(IID_IPersistFile, PF);
   If Succeeded(HRes) Then
    Begin
     HRes := SL.SetPath('d:\windows\notepad.exe');
     If Not(Succeeded(HRes)) Then Abort('Error ShellLink.SetPath');
     HRes := SL.SetArguments('c:\autoexec.bat');
     If Not(Succeeded(HRes)) Then Abort('Error ShellLink.SetArguments');
     HRes := SL.SetDescription('Shell Link Demo');
     If Not(Succeeded(HRes)) Then Abort ('Error ShellLink.SetDesc');
     HRes := PF.Save('d:\windows\desktop\linkdemo.lnk', True);
     If Not(Succeeded(HRes)) Then Abort('Error PersistFile.Save');
     PF.Release;
     SL.Release;
    End Else Abort('Error PersistFile');
  End Else Abort('Error ShellLink');
end;
procedure TForm1.Abort;
begin
 MessageDlg(Text, mtError, [mbOk], 0);
 Close;
end;
end.