uses ComObj, ActiveX, ShlObj, Registry;

const
  { Registry key where Folder information is kept }
  SFolderKey = '\Software\Microsoft\Windows\CurrentVersion\' +
    'Explorer\Shell Folders';

function GetFolderLocation(const FolderType: string): string;
{ Retrieves from registry path to folder indicated in FolderType }
begin
  with TRegistry.Create do
  try
    RootKey := HKEY_CURRENT_USER;
    if not OpenKey(SFolderKey, False) then
      { open key where shell folder information is kept. }
      raise ERegistryException.CreateFmt('Folder key "%s" not found',
        [SFolderKey]);
    { Get path for specified folder }
    Result := ReadString(FolderType);
    if Result = '' then
      raise ERegistryException.CreateFmt('"%s" item not found in registry',
        [FolderType]);
    CloseKey;
  finally
    Free;
  end;
end;

procedure MakeNotepad;
const
  // NOTE: Assumed location for Notepad:
  AppName = 'c:\windows\notepad.exe';
var
  SL: IShellLink;
  PF: IPersistFile;
  LnkName: WideString;
begin
  OleCheck(CoCreateInstance(CLSID_ShellLink, nil, CLSCTX_INPROC_SERVER,
    IShellLink, SL));
  { IShellLink implementers are required to implement IPersistFile }
  PF := SL as IPersistFile;
  OleCheck(SL.SetPath(PChar(AppName))); // set link path to proper file
  { create a path location and filename for link file }
  LnkName := GetFolderLocation('Desktop') + '\' +
    ChangeFileExt(ExtractFileName(AppName), '.lnk');
  PF.Save(PWideChar(LnkName), True); // save link file
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  MakeNotepad;
end;