You might have noticed that File Explorer does not have a Create Shortcut option. Unfortunately, there is no built-in way to create a shortcut on your Pocket PC. The "default" way for creating shortcuts on Pocket PCs is to use ActiveSync Explorer from your desktop. Connect your Pocket PC with the desktop computer, and after synchronization has completed click the Explore button on the toolbar. An Explorer window will open, which you can browse as your normally browse files on a desktop. Right-click the filename and click the Create Shortcut option from the pop-up menu.
You can create shortcuts on your Pocket PC by downloading and installing Scott Seligman's NewShortcut utility.
For further reading about Pocket PC short cuts, read the following articles: