How Do I Create A Desktop Shortcut For My Application?

its beter to do that in the installer like Inno Setup, Installshield, etc.

TRY THIS: (from CodeProject)

/**********************************************************************
* Function, : CreateShortcut
* Parameters, : lpszFileName - string that specifies a valid file name
*          lpszDesc - string that specifies a description for a
                             shortcut
*          lpszShortcutPath - string that specifies a path and
                                     file name of a shortcut
* Returns, : S_OK on success, error code on failure
* Description, : Creates a Shell link object (shortcut)
**********************************************************************/
HRESULT CreateShortcut(/*in*/ LPCTSTR lpszFileName,
                    /*in*/ LPCTSTR lpszDesc,
                    /*in*/ LPCTSTR lpszShortcutPath)
{
    HRESULT hRes = E_FAIL;
    DWORD dwRet = 0;
    CComPtr<IShellLink> ipShellLink;
        // buffer that receives the null-terminated string
        // for the drive and path
    TCHAR szPath[MAX_PATH];   
        // buffer that receives the address of the final
        //file name component in the path
    LPTSTR lpszFilePart;   
    WCHAR wszTemp[MAX_PATH];
       
    // Retrieve the full path and file name of a specified file
    dwRet = GetFullPathName(lpszFileName,
                       sizeof(szPath) / sizeof(TCHAR),
                       szPath, &lpszFilePart);
    if (!dwRet)                                       
        return hRes;

    // Get a pointer to the IShellLink interface
    hRes = CoCreateInstance(CLSID_ShellLink,
                            NULL,
                            CLSCTX_INPROC_SERVER,
                            IID_IShellLink,
                            (void**)&ipShellLink);

    if (SUCCEEDED(hRes))
    {
        // Get a pointer to the IPersistFile interface
        CComQIPtr<IPersistFile> ipPersistFile(ipShellLink);

        // Set the path to the shortcut target and add the description
        hRes = ipShellLink->SetPath(szPath);
        if (FAILED(hRes))
            return hRes;

        hRes = ipShellLink->SetDescription(lpszDesc);
        if (FAILED(hRes))
            return hRes;

        // IPersistFile is using LPCOLESTR, so make sure
                // that the string is Unicode
#if !defined _UNICODE
        MultiByteToWideChar(CP_ACP, 0,
                       lpszShortcutPath, -1, wszTemp, MAX_PATH);
#else
        wcsncpy(wszTemp, lpszShortcutPath, MAX_PATH);
#endif

        // Write the shortcut to disk
        hRes = ipPersistFile->Save(wszTemp, TRUE);
    }

    return hRes;
}

/*********************************************************************
* Function, : ResolveShortcut
* Parameters, : lpszShortcutPath - string that specifies a path
                                     and file name of a shortcut
*          lpszFilePath - string that will contain a file name
* Returns, : S_OK on success, error code on failure
* Description, : Resolves a Shell link object (shortcut)
*********************************************************************/
HRESULT ResolveShortcut(/*in*/ LPCTSTR lpszShortcutPath,
                        /*out*/ LPTSTR lpszFilePath)
{
    HRESULT hRes = E_FAIL;
    CComPtr<IShellLink> ipShellLink;
        // buffer that receives the null-terminated string
        // for the drive and path
    TCHAR szPath[MAX_PATH];     
        // buffer that receives the null-terminated
        // string for the description
    TCHAR szDesc[MAX_PATH];
        // structure that receives the information about the shortcut
    WIN32_FIND_DATA wfd;   
    WCHAR wszTemp[MAX_PATH];

    lpszFilePath[0] = '\0';

    // Get a pointer to the IShellLink interface
    hRes = CoCreateInstance(CLSID_ShellLink,
                            NULL,
                            CLSCTX_INPROC_SERVER,
                            IID_IShellLink,
                            (void**)&ipShellLink);

    if (SUCCEEDED(hRes))
    {
        // Get a pointer to the IPersistFile interface
        CComQIPtr<IPersistFile> ipPersistFile(ipShellLink);

        // IPersistFile is using LPCOLESTR,
                // so make sure that the string is Unicode
#if !defined _UNICODE
        MultiByteToWideChar(CP_ACP, 0, lpszShortcutPath,
                                       -1, wszTemp, MAX_PATH);
#else
        wcsncpy(wszTemp, lpszShortcutPath, MAX_PATH);
#endif

        // Open the shortcut file and initialize it from its contents
        hRes = ipPersistFile->Load(wszTemp, STGM_READ);
        if (SUCCEEDED(hRes))
        {
            // Try to find the target of a shortcut,
                        // even if it has been moved or renamed
            hRes = ipShellLink->Resolve(NULL, SLR_UPDATE);
            if (SUCCEEDED(hRes))
            {
                // Get the path to the shortcut target
                hRes = ipShellLink->GetPath(szPath,
                                     MAX_PATH, &wfd, SLGP_RAWPATH);
                if (FAILED(hRes))
                    return hRes;

                // Get the description of the target
                hRes = ipShellLink->GetDescription(szDesc,
                                             MAX_PATH);
                if (FAILED(hRes))
                    return hRes;

                lstrcpyn(lpszFilePath, szPath, MAX_PATH);
            }
        }
    }

    return hRes;
}


//USAGE
void HowToCreateShortcut()
{
    LPCTSTR lpszFileName = _T("C:\\Work\\Window.exe");
    LPCTSTR lpszShortcutDesc = _T("Anything can go here");
    LPCTSTR lpszShortcutPath =
_T("C:\\Documents and Settings\\Administrator\\Desktop\\Sample Shortcut.lnk");

    CreateShortcut(lpszFileName, lpszShortcutDesc, lpszShortcutPath);
}

void HowToResolveShortcut()
{
    LPCTSTR lpszShortcutPath =
_T("C:\\Documents and Settings\\Administrator\\Desktop\\Sample Shortcut.lnk");
    TCHAR szFilePath[MAX_PATH];

    ResolveShortcut(lpszShortcutPath, szFilePath);
}

Yeah! I see what I've been missing out now. The Shell objects are actualy COM objects and I shouls have initialised COM in my workspace before using them. You know. . .

::CoInitialize(NULL);

Such a small ommission, such pains to go with it.
Thanks  Smart K and Seun.