uses ShlObj, ActiveX, ComObj;
...
procedure TForm1.Button1Click(Sender: TObject) ;
var
   IObject : IUnknown;
   ISLink : IShellLink;
   IPFile : IPersistFile;
   PIDL : PItemIDList;
   InFolder : array[0..MAX_PATH] of Char;
   TargetName : String;
   LinkName : WideString;
begin
   TargetName := 'c:\windows\calc.exe';
 
   {Use TargetName:=ParamStr(0) which
   returns the path and file name of the
   executing program to create a link to your
   Application}
 
   IObject := CreateComObject(CLSID_ShellLink) ;
   ISLink := IObject as IShellLink;
   IPFile := IObject as IPersistFile;
 
   with ISLink do
   begin
     SetPath(pChar(TargetName)) ;
     SetWorkingDirectory(pChar(ExtractFilePath(TargetName))) ;
   end;
 
   // if we want to place a link on the Desktop
   SHGetSpecialFolderLocation(0, CSIDL_DESKTOPDIRECTORY, PIDL) ;
   SHGetPathFromIDList(PIDL, InFolder) ;
 
   {
    or if we want a link to appear in
    some other, not-so-special, folder:
    InFolder := 'c:\SomeFolder'
   }
 
   LinkName := InFolder + '\Delphi Created Link.lnk';
   IPFile.Save(PWChar(LinkName), false) ;
end;