The Solution I found under a small chapter about IShellLink. But not much Info, and so i tried it out.

At First is the boring COM -

	CoInitialize(NULL);
	hres = CoCreateInstance(CLSID_ShellLink, NULL, CLSCTX_INPROC_SERVER,
	IID_IShellLink, (LPVOID*) &psl);

If it was successful, you can set Path, Description and so on. But to create the link in real (on Harddisk) we need IPersistFile

	hres = psl->QueryInterface( IID_IPersistFile, (LPVOID *) &ppf);

and save the File...

	hres = ppf->Save(in WideChar>, TRUE);

Thats all.

So, if anybody need it complete:

// Creating a Link with IShellLink
// strPathObj  = Object with Path
// strPathLink = Path where the Link will appear
// strDesc = Link-Decription (the text under the Icon)
// CoInitialize(NULL) wird vorausgesetzt !!

HRESULT MyMainClass::CreateLink(const CString strPathObj,const CString
strPathLink, const CString strDesc)
{
HRESULT hres;
IShellLink* psl;

	CString strMyPath = strPathLink;

	hres = CoCreateInstance(CLSID_ShellLink, NULL, CLSCTX_INPROC_SERVER,
IID_IShellLink, (LPVOID*) &psl);
	if (SUCCEEDED(hres))
	{
		IPersistFile* ppf;

		psl->SetPath(strPathObj);
		psl->SetDescription(strDesc);

		hres = psl->QueryInterface( IID_IPersistFile, (LPVOID *) &ppf);

		if (SUCCEEDED(hres))
		{
			strMyPath += ".lnk";  // Important !!!

			WORD wsz[MAX_PATH];
			MultiByteToWideChar(CP_ACP, MB_PRECOMPOSED, strMyPath, -1, wsz,
MAX_PATH);

			hres = ppf->Save(wsz, TRUE);
			if (hres != S_OK )
				MessageBox(NULL, "IPersistFile->Save() Error", "Error", MB_OK);

			ppf->Release();
		}
		psl->Release();
	}
	return hres;
}

C:\\.lnk

FileLink([Source-Path with File],
	 [Destination-Path with an allowed Name and .lnk as Extension]
         (like C:\[Path]\[Name you want].lnk ]);