It only talks about how the UWIN environment handles links.
Windows' .lnk files are probably what you want, but they really only work right from the Explorer GUI, IIRC.
From [link|http://www.google.com/search?q=%22lnk+file+format%22&sourceid=opera&num=0&ie=utf-8&oe=utf-8|Google]:
[link|http://www.stdlib.com/art6-Shortcut-File-Format-lnk-.html|http://www.stdlib.co...-Format-lnk-.html]
[link|http://www.moon-soft.com/program/FORMAT/windows/Lnk.htm|http://www.moon-soft...T/windows/Lnk.htm]
Wade.