Three separate command-line programs illustrate embedding a link to an existing message in a new message (LinkMM.exe); embedding a link to a folder in a message (LinkFM.exe); and creating a folder link in a file (LinkFF.exe).
The sample code is available for downloading from the MAPI FTP site: ftp://ftp.microsoft.com/developr/mapi/samples/links.cli/links.zip.