Open any Windows Explorer Window (My Documents would work). Locate the location bar at the top (long text bar to the right of back and forward button where your current folder location is shown). In that location bar, click the icon at the far left so you can type in a new location. Type
shell:sendto
Press Enter and you should be in the SendTo folder. Right click an open area and opt to 'New>Text Document'. Right click the new text file and choose to 'Rename'. Rename the file
Desktop (Create Shortcut).Desklink
You can change the name if you want but the file extension must be DeskLink. Ignore the warning about changing file extensions. Close the folder and you should be back in business. If not, there is a registry issue with the Desklink file type.