Here is a piece of code that has no dependency on an external COM object (WSH), and supports 32-bit and 64-bit programs:

using System;
using System.IO;
using System.Runtime.InteropServices;
using System.Runtime.InteropServices.ComTypes;
using System.Text;

namespace TestShortcut
{
    class Program
    {
        static void Main(string[] args)
        {
            IShellLink link = (IShellLink)new ShellLink();

            // setup shortcut information
            link.SetDescription("My Description");
            link.SetPath(@"c:\MyPath\MyProgram.exe");

            // save it
            IPersistFile file = (IPersistFile)link;
            string desktopPath = Environment.GetFolderPath(Environment.SpecialFolder.DesktopDirectory);
            file.Save(Path.Combine(desktopPath, "MyLink.lnk"), false);
        }
    }

    [ComImport]
    [Guid("00021401-0000-0000-C000-000000000046")]
    internal class ShellLink
    {
    }

    [ComImport]
    [InterfaceType(ComInterfaceType.InterfaceIsIUnknown)]
    [Guid("000214F9-0000-0000-C000-000000000046")]
    internal interface IShellLink
    {
        void GetPath([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszFile, int cchMaxPath, out IntPtr pfd, int fFlags);
        void GetIDList(out IntPtr ppidl);
        void SetIDList(IntPtr pidl);
        void GetDescription([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszName, int cchMaxName);
        void SetDescription([MarshalAs(UnmanagedType.LPWStr)] string pszName);
        void GetWorkingDirectory([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszDir, int cchMaxPath);
        void SetWorkingDirectory([MarshalAs(UnmanagedType.LPWStr)] string pszDir);
        void GetArguments([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszArgs, int cchMaxPath);
        void SetArguments([MarshalAs(UnmanagedType.LPWStr)] string pszArgs);
        void GetHotkey(out short pwHotkey);
        void SetHotkey(short wHotkey);
        void GetShowCmd(out int piShowCmd);
        void SetShowCmd(int iShowCmd);
        void GetIconLocation([Out, MarshalAs(UnmanagedType.LPWStr)] StringBuilder pszIconPath, int cchIconPath, out int piIcon);
        void SetIconLocation([MarshalAs(UnmanagedType.LPWStr)] string pszIconPath, int iIcon);
        void SetRelativePath([MarshalAs(UnmanagedType.LPWStr)] string pszPathRel, int dwReserved);
        void Resolve(IntPtr hwnd, int fFlags);
        void SetPath([MarshalAs(UnmanagedType.LPWStr)] string pszFile);
    }
}