A shortcut in Windows is just a .lnk file that is created and used by Windows Explorer. In contrast to that, a symbolic link is an alias for a file or a directory that is created in the filesystem.
In Windows, symbolic links are only supported on NTFS, not on FAT or FAT32 filesystems. Symbolic links can be created at the command-line using the mklink command of the command prompt.
To create a symbolic link to the file Hello.txt named Foo.txt:
mklink Foo.txt Hello.txt
To create a symbolic link to the directory Hello named Foo:
mklink /d Foo Hello
Creating symbolic links requires Administrator privilege by default. So, open a command prompt with elevated privileges to try these commands.
Tried with: Windows 8 Pro