The CreateShortcut method creates a WshShortcut object and returns it. If the shortcut title ends with .url, a WshURLShortcut object is created.
WshShell.CreateShortcut(strPathname) = objShortcut
' This code fragment creates a shortcut
' to the currently executing script
Set WshShell = Wscript.CreateObject("Wscript.Shell")
Set oShellLink = WshShell.CreateShortcut("Current Script.lnk")
oShellLink.TargetPath = Wscript.ScriptFullName
oShellLink.Save
Set oUrlLink = WshShell.CreateShortcut("Microsoft Web Site.URL")
oUrlLink.TargetPath = "http://www.microsoft.com"
oUrlLink.Save
WshShortcut object, WshUrlShortcut object