//首先引用Com下 Windows Script Host Object Model

using System.Runtime.InteropServices;    
using IWshRuntimeLibrary;

private void AddShortcut()
    {
        try
        {
            string mysite = "http://www.baidu.com";

            //创建收藏夹快捷方式
            string fav = System.Environment.GetFolderPath(System.Environment.SpecialFolder.Favorites) + "\\百度.url";
            IWshShell_Class wshShell = new IWshShell_ClassClass();//创建 Windows Script Host Shell 类  
            IWshURLShortcut favShortcut = wshShell.CreateShortcut(fav) as IWshURLShortcut;//定义快捷方式文件   
             favShortcut.TargetPath = mysite;
            favShortcut.Save();//保存快捷方式

            //创建桌面快捷方式
            IWshShell_Class wshShell = new IWshShell_ClassClass();//创建 Windows Script Host Shell 类  
            string desktop = System.Environment.GetFolderPath(System.Environment.SpecialFolder.Desktop) + "\\百度.url";
            IWshURLShortcut desktopShortcut = wshShell.CreateShortcut(desktop) as IWshURLShortcut;
            desktopShortcut.TargetPath = mysite;
            desktopShortcut.Save();//保存快捷方式
        }
        catch (Exception exc)
        {
            throw new Exception("创建快捷方式错误!" + exc.Message);
        }
    }