uses
  ActiveX, ShlObj;

function CreateFolderShortCut(const DestinationPath, Folder: string):
  boolean;

  function CreateReadOnlyDir(const Path: string): boolean;
  begin
    // schreibgeschützten Ordner erzeugen, ...
    Result := (CreateDirectory(pchar(Path),nil)) and
      (SetFileAttributes(pchar(Path),FILE_ATTRIBUTE_READONLY)) and
    // ... & versteckte "desktop.ini" erzeugen
      (WritePrivateProfileString('.ShellClassInfo','CLSID2',
         '{0AFACED1-E828-11D1-9187-B532F1E9575D}',
         pchar(Path + '\desktop.ini'))) and
      (WritePrivateProfileString('.ShellClassInfo','Flags','2',
         pchar(Path + '\desktop.ini'))) and
      (SetFileAttributes(pchar(Path + '\desktop.ini'),
         FILE_ATTRIBUTE_HIDDEN or FILE_ATTRIBUTE_SYSTEM));
  end;

  function CreateComObject(const ClassID: TGUID;
    var OleResult : HRESULT): IUnknown;
  begin
    OleResult := CoCreateInstance(ClassID,nil,CLSCTX_INPROC_SERVER or
      CLSCTX_LOCAL_SERVER,IUnknown,Result);
  end;

var
  hr : HRESULT;
  link : IShellLink;
  pFile : IPersistFile;
  pwcData : array[0..MAX_PATH]of widechar;
begin
  Result := false;
  link := nil;
  pFile := nil;

  if(CoInitialize(nil) = S_OK) then
  try
    // Shortcut erzeugen
    link := CreateComObject(CLSID_ShellLink,hr) as IShellLink;
    if(hr = S_OK) and (link <> nil) then
    begin
      // Name für die Verknüpfung setzen
      ZeroMemory(@pwcData,sizeof(pwcData));
      if(StringToWideChar(DestinationPath + '\target.lnk',pwcData,
        sizeof(pwcData)) <> nil) then
      begin
        // Ordner erzeugen, ...
        if(CreateReadOnlyDir(DestinationPath)) then
        begin
          // Verknüpfungsziel setzen, ...
          link.SetPath(pchar(Folder));

          // ... & Verknüpfung erstellen
          pFile := link as IPersistFile;
          Result := (pFile.Save(pwcData,true) = S_OK);
        end;
      end;
    end;
  finally
    if(pFile <> nil) then pFile := nil;
    if(link <> nil) then link := nil;

    CoUninitialize;
  end;
end;

CreateFolderShortCut(
  'g:\test', // <-- der anzulegende Ordner auf G:\ (= FAT-Partition)
  'c:\LastCrap'); // <-- das Ziel auf C:\ (= FAT-Partition)