Many people believe that the Windows OS doens’t have the capacity to create symbolic links. This is not entirely true, it does. The capacity has been around since Windows 2000. But because you, the user, are not smart enough to use it properly the good folks at Redmond have done their best to hide it.
Luckily there are a number of good utility programs available that solve this problem. Even better, “Windows Symbolic and Hard Links” is a good article giving you the rundown of NTFS’s linking capabilities and links to a number of programs.