function GetDesktopFolder: string;
var
  buf: array[0..MAX_PATH] of Char;
  pidList: PItemIDList;
begin
  Result := StrNoDesktopFolderFo;
  SHGetSpecialFolderLocation(Application.Handle, CSIDL_DESKTOP, pidList);
  if (pidList <> nil) then
    if (SHGetPathFromIDList(pidList, buf)) then
      Result := buf;
end;

procedure p;
var
  i: Integer;
  IObject: IUnknown;
  ISLink: IShellLink;
  IPFile: IPersistFile;
  PIDL: PItemIDList;
  InFolder: array[0..MAX_PATH] of Char;
  TargetName: string;
  LinkName: string;
begin
  TargetName := 'c:\folder\exeFile.exe';//hardcoded example

  IObject := CreateComObject(CLSID_ShellLink) ;
  ISLink := IObject as IShellLink;
  IPFile := IObject as IPersistFile;

  with ISLink do
  begin
    SetDescription('what ever');
    SetPath(pChar(TargetName)) ;
    SetWorkingDirectory(pChar(ExtractFilePath(TargetName))) ;
  end;

  SHGetSpecialFolderLocation(0, CSIDL_DESKTOPDIRECTORY, PIDL) ;
  SHGetPathFromIDList(PIDL, InFolder) ;

  LinkName := getDesktopFolder+'\';
  i := ;

  LinkName:= linkname+ExtractFileName(TargetName)+'.lnk';

  if LinkName = StrNoDesktopFolderFo then
    Exit;
  if not FileExists(LinkName) then
    IPFile.Save(PWChar(LinkName), False);

  Application.Terminate;
end;

O código acima causa muitos erros no Delphi e não pode ser executado duas vezes ...

Alguma ideia

Btw. a fonte não é originalmente minha, foi adquirida em locais da Web.