I know FAT32, as well as FAT16/12 neither support symbolic links nor hard-links. However I came up with this idea:
The FAT specification describes that
This should work for simple issues. I.e. it works as a hack / workaround and I don't know what happens if you rename / move / remove files. So, you should not do this on your main hdd.
I edited the directory-entries manually using a hex editor. I modified clusters as well as file-sizes and successfully faked hardlinks. My car-radio and even Windows (7, 64Bit) have no problems with playing back the original and "hard-linked" mp3-Files I used.
When I'm opening the device again in the hex-editor none of my modifications are changed back (See chkdsk issue in answer #1 - but as far as I know chkdsk has to be started manually, anyways.