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function CreateLink(lpszPathObj,lpszPathLink,lpszDesc:string):Boolean;
var psl : IShellLink;
    ppf : IPersistFile;
begin
  Result:=false;
  if SUCCEEDED(CoCreateInstance(CLSID_ShellLink,nil,CLSCTX_INPROC_SERVER, IID_IShellLinkA, psl)) then 
   begin
    psl.SetPath(PChar(lpszPathObj));
    psl.SetDescription(PChar(lpszDesc));
    if SUCCEEDED(psl.QueryInterface(IID_IPersistFile,ppf)) then 
     begin
      ppf.Save(StringToOLEStr(lpszPathLink),TRUE);
      Result:=true;
     end;
   end;
end;                    

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 CreateLink('Dateiname','Name.lnk','Titel der Verknüpfung');