procedure CreateLink(const PathObj, PathLink, Desc, Param: string);
var
  IObject: IUnknown;
  SLink: IShellLink;
  PFile: IPersistFile;
begin
  IObject:=CreateComObject(CLSID_ShellLink);
  SLink:=IObject as IShellLink;
  PFile:=IObject as IPersistFile;
  with SLink do
  begin
    SetArguments(PChar(Param));
    SetDescription(PChar(Desc));
    SetPath(PChar(PathObj));
  end;
  PFile.Save(PWChar(WideString(PathLink)), FALSE);
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  CreateLink('c:\windows\notepad.exe','c:\MyNotePad.lnk','','');
end;