You can create symbolic link in Windows Vista now.

C:\test>ver

Microsoft Windows [Version 6.0.5365]

C:\test>mklink
Creates a symbolic link.

MKLINK [[/D] | [/H] | [/J]] Link Target

        /D      Creates a directory symbolic link.  Default is a file
                symbolic link.
        /H      Creates a hard link instead of a symbolic link.
        /J      Creates a Directory Junction.
        Link    specifies the new symbolic link name.
        Target  specifies the path (relative or absolute) that the new link
                refers to.

C:\test>mklink foo c:\Windows\system32\notepad.exe
symbolic link created for foo <<===>> c:\Windows\system32\notepad.exe

C:\test>dir
 Volume in drive C has no label.
 Volume Serial Number is 2211-7428

 Directory of C:\test

04/14/2006  11:24 AM    <DIR>          .
04/14/2006  11:24 AM    <DIR>          ..
04/14/2006  11:24 AM    <SYMLINK>      foo [c:\Windows\system32\notepad.exe]
               1 File(s)              0 bytes
               2 Dir(s)  69,238,722,560 bytes free

C:\test>mklink /d bar c:\windows
symbolic link created for bar <<===>> c:\windows

C:\test>dir
 Volume in drive C has no label.
 Volume Serial Number is 2211-7428

 Directory of C:\test

04/14/2006  11:24 AM    <DIR>          .
04/14/2006  11:24 AM    <DIR>          ..
04/14/2006  11:24 AM    <SYMLINKD>     bar [c:\windows]
04/14/2006  11:24 AM    <SYMLINK>      foo [c:\Windows\system32\notepad.exe]
               1 File(s)              0 bytes
               3 Dir(s)  69,238,722,560 bytes free

C:\test>del foo

C:\test>dir
 Volume in drive C has no label.
 Volume Serial Number is 2211-7428

 Directory of C:\test

04/14/2006  11:24 AM    <DIR>          .
04/14/2006  11:24 AM    <DIR>          ..
04/14/2006  11:24 AM    <SYMLINKD>     bar [c:\windows]
               0 File(s)              0 bytes
               3 Dir(s)  69,238,722,560 bytes free

C:\test>rd bar

C:\test>dir
 Volume in drive C has no label.
 Volume Serial Number is 2211-7428

 Directory of C:\test

04/14/2006  11:24 AM    <DIR>          .
04/14/2006  11:24 AM    <DIR>          ..
               0 File(s)              0 bytes
               2 Dir(s)  69,238,722,560 bytes free

(By default only administrators can create symbolic link. You can override the decision using secpol.msc.)

Documentation of symbolic link can be found in MSDN

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/fileio/fs/symbolic_links.asp