In Vista There are 2 types of links in use, Symlinks and junctions... symlinks rely on a service to intercept the request and transform it into the correct location on the disk and can point to files or directories, Junctions are actually extra pointers in the NTFS node table and can only point to directories.

Win2K(3) and XP only support junctions

the command in vista is mklink.exe and is built into the operating system... for 5.x you need to download junction.exe