La solución la tienes en:
http://www.somser.com/trucos/vb/AccesoDirector.htm
Private Declare Function fCreateShellLink Lib "STKIT432.DLL" (ByVal lpstrFolderName As String, ByVal lpstrLinkName As String, ByVal lpstrLinkPath As String, ByVal lpstrLinkArgs As String) As Long
Dim lReturn As Long
'Add to Desktop
lReturn = fCreateShellLink("..\..\Desktop", "Shortcut to Calculator", "c:\windows\calc.exe", "")
'Add to Program Menu Group
lReturn = fCreateShellLink("", "Shortcut to Calculator", "c:\windows\calc.exe", "")