Update: This is now obsolete since Windows Vista/7 includes the mklink
utility. Usage of this utility can be found below
I found out about this neat utility, junctions from sysinternals, that can create symlinks on Windows. In Windows they are called junctions, which unfortunately only work on directories. But that is still better than making shortcuts (as cygwin’s ln -s implementation currently does).
Windows Server 2003 Resource Kit.