How to create a file shortcut (*.lnk file) on desktop in Windows?

I would do it e.g. this way

uses
  ShlObj, ComObj, ActiveX;

function GetDesktopFolder: string;
var
  PIDList: PItemIDList;
  Buffer: array [0..MAX_PATH-1] of Char;
begin
  Result := '';
  SHGetSpecialFolderLocation(Application.Handle, CSIDL_DESKTOP, PIDList);
  if Assigned(PIDList) then
    if SHGetPathFromIDList(PIDList, Buffer) then
      Result := Buffer;
end;

function CreateDesktopShellLink(const TargetName: string): Boolean;
var
  IObject: IUnknown;
  ISLink: IShellLink;
  IPFile: IPersistFile;
  PIDL: PItemIDList;
  LinkName: string;
  InFolder: array [0..MAX_PATH-1] of Char;
begin
  Result := False;

  IObject := CreateComObject(CLSID_ShellLink);
  ISLink := IObject as IShellLink;
  IPFile := IObject as IPersistFile;

  with ISLink do
  begin
    SetDescription('Description ...');
    SetPath(PChar(TargetName));
    SetWorkingDirectory(PChar(ExtractFilePath(TargetName)));
  end;

  SHGetSpecialFolderLocation(0, CSIDL_DESKTOPDIRECTORY, PIDL);
  SHGetPathFromIDList(PIDL, InFolder) ;

  LinkName := IncludeTrailingBackslash(GetDesktopFolder);
  LinkName := LinkName + ExtractFileName(TargetName) + '.lnk';

  if not FileExists(LinkName) then
    if IPFile.Save(PWideChar(LinkName), False) = S_OK then
      Result := True;
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  if CreateDesktopShellLink('C:\Folder\ExeFile.exe') then
    ShowMessage('Link has been created ...');
end;