...launch programmatically the Create Shortcut dialog?

uses
  registry, shellapi;

function Launch_CreateShortCut_Dialog(Directory: string): Boolean;
var
  reg: TRegistry;
  cmd: string;
begin
  Result := False;
  reg    := TRegistry.Create;
  try
    reg.Rootkey := HKEY_CLASSES_ROOT;
    if reg.OpenKeyReadOnly('.LNK\ShellNew') then
    begin
      cmd    := reg.ReadString('Command');
      cmd    := StringReplace(cmd, '%1', Directory, []);
      Result := True;
      WinExec(PChar(cmd), SW_SHOWNORMAL);
    end
  finally
    reg.Free;
  end;
end;

{Example/ Beispiel}

procedure TForm1.Button1Click(Sender: TObject);
begin
  Launch_CreateShortCut_Dialog('c:\temp');
end;