From: John Cody on
What worked for me was to create the shortcut on my desktop, but name it with a .TXT extension. Then use the VS cab explorer/builder and add this txt file to where you want. Since it's a txt file, VS won't try to "resolve" it when it's added to the cab file's system. Then from within the VS cab explorer/builder, rename the file to .lnk.

When you create and install the CAB file from witin VS, it will properly install this txt file an an LNK in the device memory where you wanted it.

This seems to bypass VS's check to see if it can resolve the link when it's being added to the cab files system.

From http://www.developmentnow.com/g/18_2007_3_0_0_950489/creating-link-for-help-file.htm

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