Access is denied on mklink
Robert is wrong. Remotely mklink DOES work. Here is the solution:
Run command prompt as admin and then run this command:
fsutil behavior query SymlinkEvaluation
If you see message "Remote to remote symbolic links are disabled.", then run this command:
fsutil behavior set SymlinkEvaluation R2R:1
After that, you can run
mklink /d \\myserver\SomeDir\SomeLink \\myserver\SomeOtherDir\MyDir