using IWshRuntimeLibrary;

...

public static void CreateShortcut(string linkFilename, string description, string targetPath, string iconLocation, int iconIndex)
{
	IWshShortcut_Class shortcut = (IWshShortcut_Class)new IWshShell_ClassClass().CreateShortcut(linkFilename);
	shortcut.Description = description;
	shortcut.TargetPath = targetPath;
	shortcut.IconLocation = iconLocation + "," + iconIndex;
	shortcut.Save();
}

...

Call that method like this:

CreateShortcut(linkFilename, description, targetPath, targetPath, 0);

http://www.eggheadcafe.com/community/aspnet/14/26241/here-is-how-to-do-it-usin.aspx

Se requiere hacer referencia a la dll `Interop.IWshRuntimeLibrary`.

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