Create a shortcut on Desktop

With additional options such as hotkey, description etc.

At first, Project > Add Reference > COM > Windows Script Host Object Model.

using IWshRuntimeLibrary;

private void CreateShortcut()
{
  object shDesktop = (object)"Desktop";
  WshShell shell = new WshShell();
  string shortcutAddress = (string)shell.SpecialFolders.Item(ref shDesktop) + @"\Notepad.lnk";
  IWshShortcut shortcut = (IWshShortcut)shell.CreateShortcut(shortcutAddress);
  shortcut.Description = "New shortcut for a Notepad";
  shortcut.Hotkey = "Ctrl+Shift+N";
  shortcut.TargetPath = Environment.GetFolderPath(Environment.SpecialFolder.System) + @"\notepad.exe";
  shortcut.Save();
}

URL shortcut

private void urlShortcutToDesktop(string linkName, string linkUrl)
{
    string deskDir = Environment.GetFolderPath(Environment.SpecialFolder.DesktopDirectory);

    using (StreamWriter writer = new StreamWriter(deskDir + "\\" + linkName + ".url"))
    {
        writer.WriteLine("[InternetShortcut]");
        writer.WriteLine("URL=" + linkUrl);
    }
}

Application shortcut

private void appShortcutToDesktop(string linkName)
{
    string deskDir = Environment.GetFolderPath(Environment.SpecialFolder.DesktopDirectory);

    using (StreamWriter writer = new StreamWriter(deskDir + "\\" + linkName + ".url"))
    {
        string app = System.Reflection.Assembly.GetExecutingAssembly().Location;
        writer.WriteLine("[InternetShortcut]");
        writer.WriteLine("URL=file:///" + app);
        writer.WriteLine("IconIndex=0");
        string icon = app.Replace('\\', '/');
        writer.WriteLine("IconFile=" + icon);
    }
}

Also check this example.

If you want to use some API specific functions then you will want to use the IShellLink interface as well as the IPersistFile interface (through COM interop).

Here is an article that goes into detail what you need to do it, as well as sample code.

Here is a piece of code that has no dependency on an external COM object (WSH), and supports 32-bit and 64-bit programs:

using System;
using System.IO;
using System.Runtime.InteropServices;
using System.Runtime.InteropServices.ComTypes;
using System.Text;

namespace TestShortcut
{
    class Program
    {
        static void Main(string[] args)
        {
            IShellLink link = (IShellLink)new ShellLink();

            // setup shortcut information
            link.SetDescription("My Description");
            link.SetPath(@"c:\MyPath\MyProgram.exe");

            // save it
            IPersistFile file = (IPersistFile)link;
            string desktopPath = Environment.GetFolderPath(Environment.SpecialFolder.DesktopDirectory);
            file.Save(Path.Combine(desktopPath, "MyLink.lnk"), false);
        }
    }

    [ComImport]
    [Guid("00021401-0000-0000-C000-000000000046")]
    internal class ShellLink
    {
    }

    [ComImport]
    [InterfaceType(ComInterfaceType.InterfaceIsIUnknown)]
    [Guid("000214F9-0000-0000-C000-000000000046")]
    internal interface IShellLink
    {
        void GetPath([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszFile, int cchMaxPath, out IntPtr pfd, int fFlags);
        void GetIDList(out IntPtr ppidl);
        void SetIDList(IntPtr pidl);
        void GetDescription([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszName, int cchMaxName);
        void SetDescription([MarshalAs(UnmanagedType.LPWStr)] string pszName);
        void GetWorkingDirectory([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszDir, int cchMaxPath);
        void SetWorkingDirectory([MarshalAs(UnmanagedType.LPWStr)] string pszDir);
        void GetArguments([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszArgs, int cchMaxPath);
        void SetArguments([MarshalAs(UnmanagedType.LPWStr)] string pszArgs);
        void GetHotkey(out short pwHotkey);
        void SetHotkey(short wHotkey);
        void GetShowCmd(out int piShowCmd);
        void SetShowCmd(int iShowCmd);
        void GetIconLocation([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszIconPath, int cchIconPath, out int piIcon);
        void SetIconLocation([MarshalAs(UnmanagedType.LPWStr)] string pszIconPath, int iIcon);
        void SetRelativePath([MarshalAs(UnmanagedType.LPWStr)] string pszPathRel, int dwReserved);
        void Resolve(IntPtr hwnd, int fFlags);
        void SetPath([MarshalAs(UnmanagedType.LPWStr)] string pszFile);
    }
}