// не помню какая из них нужна, вообще наити можно поиском в *.pas в каталоге
uses...ShlObj, ComObj, ActiveX, shellapi, ComCtrls, ...
// disk:\Program Files\Borland\Delphi5\Source

procedure SetShortCut(path, cmd, icon, wd, name, arg: string);
var
  ShellObject: IUnknown;
  LinkFile: IPersistFile;
  ShellLink: IShellLink;
begin
  try
    CoInitialize(nil);
    ShellObject := CreateComObject(CLSID_ShellLink);
    LinkFile := ShellObject as IPersistFile;
    ShellLink := ShellObject as IShellLink;
      // RTFM - интерфейсу IShellLink, там вс? описано
    ShellLink.SetPath(@cmd[1]);
    ShellLink.SetWorkingDirectory(@wd[1]);
    ShellLink.SetIconLocation(@icon[1], 0);
      // вместо 0 можно указать номер иконки если их там много...
    ShellLink.SetDescription(@name[1]);
    ShellLink.SetArguments(@arg[1]);
    LinkFile.Save(PWChar(WideString(path)), true);
  finally
    ShellObject := Unassigned;
    CoUninitialize;
  end;
end;