Colin McTaggart wrote:but if you know how a file is constructed you can create it.
That's exactly right. So you need to find the specifications for a Windows shortcut. I would expect to find that on Microsoft's developer site, although I have heard that Microsoft hasn't actually made those specs public. But that could be just a rumour, or out of date, or just wrong.
Or you could reverse-engineer a shortcut file which looks like one which you would like to generate. Don't know how easy that would be.