微软给了我们一个建立快捷方式的案例，但如果直接用在ASP中会提示存在一个错误。
例子原码如下（VBscript格式）：
' Windows Script Host Sample Script
'
' ------------------------------------------------------------------------
'               Copyright (C) 1996-1997 Microsoft Corporation
'
' You have a royalty-free right to use, modify, reproduce and distribute
' the Sample Application Files (and/or any modified version) in any way
' you find useful, provided that you agree that Microsoft has no warranty,
' obligations or liability for any Sample Application Files.
' ------------------------------------------------------------------------


' This sample demonstrates how to use the WSHShell object to create a shortcut
' on the desktop.

L_Welcome_MsgBox_Message_Text   = "此脚本将在您的桌面上建立 Notepad 的快捷方式。"
L_Welcome_MsgBox_Title_Text     = "Windows Scripting Host 范例"
Call Welcome()

' ********************************************************************************
' *
' * Shortcut related methods.
' *

Dim WSHShell
Set WSHShell = WScript.CreateObject("WScript.Shell")

'注意上面这一句，不知是写错了还是微软能使其运行，反正我一运行就提示没有对象。我将之改成了:Set WSHShell = server.CreateObject("WScript.Shell")

Dim MyShortcut, MyDesktop, DesktopPath

' Read desktop path using WshSpecialFolders object
DesktopPath = WSHShell.SpecialFolders("Desktop")

' Create a shortcut object on the desktop
Set MyShortcut = WSHShell.CreateShortcut(DesktopPath & "\notepad 的快捷方式.lnk")

' Set shortcut object properties and save it
MyShortcut.TargetPath = WSHShell.ExpandEnvironmentStrings("%windir%\notepad.exe")
MyShortcut.WorkingDirectory = WSHShell.ExpandEnvironmentStrings("%windir%")
MyShortcut.WindowStyle = 4
MyShortcut.IconLocation = WSHShell.ExpandEnvironmentStrings("%windir%\notepad.exe, 0")
MyShortcut.Save

WScript.Echo "在桌面上已存在 Notepad 的快捷方式。"

' ********************************************************************************
' *
' * Welcome
' *
Sub Welcome()
    Dim intDoIt

    intDoIt =  MsgBox(L_Welcome_MsgBox_Message_Text,    _
                      vbOKCancel + vbInformation,       _
                      L_Welcome_MsgBox_Title_Text )
    If intDoIt = vbCancel Then
        WScript.Quit
    End If
End Sub

下面是我改造后用在ASP中的。
<%L_Welcome_MsgBox_Message_Text   = "此脚本将在您的桌面上建立 Notepad 的快捷方式。"
L_Welcome_MsgBox_Title_Text     = "Windows Scripting Host 范例"
response.write L_Welcome_MsgBox_Message_Text
Dim WSHShell
Set WSHShell = server.CreateObject("WScript.Shell")
Dim MyShortcut, MyDesktop, DesktopPath
DesktopPath = WSHShell.SpecialFolders("Desktop")
Set MyShortcut = WSHShell.CreateShortcut(DesktopPath & "\notepad 的快捷方式.lnk")
MyShortcut.TargetPath = WSHShell.ExpandEnvironmentStrings("%windir%\notepad.exe")
MyShortcut.WorkingDirectory = WSHShell.ExpandEnvironmentStrings("%windir%")
MyShortcut.WindowStyle = 4
MyShortcut.IconLocation = WSHShell.ExpandEnvironmentStrings("%windir%\notepad.exe, 0")
MyShortcut.Save
response.write "<BR>快捷方式建立完毕！"
%>

已经在我的NT4上测试通过。