You don't need to use special libraries to create the shortcut, you can use the Shell32 automation object directly from a C# or VB.NET program. Get started with Project + Add Reference, Browse tab, select c:\windows\system32\shell32.dll
Then write code like this to create the .lnk file:
// Creating a link named "test" on the desktop
string lnkDir = Environment.GetFolderPath(Environment.SpecialFolder.DesktopDirectory);
string lnkName = "test";
// Create an empty .lnk file so we can create an object for it
string lnkPath = System.IO.Path.Combine(lnkDir, lnkName) + ".lnk";
System.IO.File.WriteAllBytes(lnkPath, new byte[] { });
// Initialize a ShellLinkObject for that .lnk file
Shell32.Shell shl = new Shell32.ShellClass();
Shell32.Folder dir = shl.NameSpace(lnkDir);
Shell32.FolderItem itm = dir.Items().Item(lnkName + ".lnk");
Shell32.ShellLinkObject lnk = (Shell32.ShellLinkObject)itm.GetLink;
// We'll just dummy a link to notepad
lnk.Path = Environment.GetFolderPath(Environment.SpecialFolder.System) + @"\notepad.exe";
lnk.Description = "Anything goes here";
lnk.Arguments = @"c:\sample.txt";
lnk.WorkingDirectory = @"c:\";
// And dummy an icon (it will the one used by cmd.exe)
lnk.SetIconLocation(Environment.GetFolderPath(Environment.SpecialFolder.System) + "cmd.exe", 1);
// Done, save it
lnk.Save(lnkPath);