I would say it's more than an issue. This whole business is called "Link File Tracking" and it's a royal pain in the @$$. Luckily, on Windows NT workstation, you can disable it at...

KEY:HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer

VALUE:LinkResolveIgnoreLinkInfo = 1

Like Darryl says, you can quickly create a link file by using the NTRESKIT shortcut.exe program. For example, to make a shortcut to notepad you specify ...

shortcut -t notepad.exe

It will create a file called notepad.lnk in you current directory. Unfortunately, shortcut.exe doesn't allow you to rename your link file or specify a target directory. But you can rename/move it later after it's created.

Shawn.