It's true that the vast majority of the time, people consider the shell shortcut object as synonymous with the .lnk file it is normally saved into, shortcuts need not spend their time in a file. You can put a shortcut anywhere you can save a hunk of bytes. Here's a program that creates a shortcut to the file name passed on the command line (make sure it's a full path), and then serializes the shortcut to a blob of bytes (in the form of a HGLOBAL). Once that's done, it reconstitutes the bytes back into a shortcut object and sucks information out of it.

#define UNICODE
#define _UNICODE
#include <windows.h>
#include <shlobj.h>
#include <ole2.h>
#include <stdio.h>
#include <tchar.h>
#include <atlbase.h>

HGLOBAL CreateShellLinkInMemory(PCWSTR pszFile)
{
 BOOL fSuccess = FALSE;
 HGLOBAL hglob = GlobalAlloc(GMEM_MOVEABLE, 0);
 if (hglob) {
  CComPtr<IStream> spstm;
  if (SUCCEEDED(CreateStreamOnHGlobal(hglob, FALSE, &spstm))) {
   CComPtr<IShellLink> spsl;
   if (SUCCEEDED(spsl.CoCreateInstance(CLSID_ShellLink))) {
    if (SUCCEEDED(spsl->SetPath(pszFile))) {
     CComQIPtr<IPersistStream> spps(spsl);
     fSuccess = spps && SUCCEEDED(spps->Save(spstm, TRUE));
    }
   }
  }
 }
 if (fSuccess) return hglob;
 if (hglob) GlobalFree(hglob);
 return NULL;
}

After creating the shortcut object, we serialize it into a stream backed by a chunk of memory we record in a HGLOBAL. The shortcut object itself is no longer anywhere to be seen. It's been dehydrated into a pile of dust like in that old Star Trek episode.

But this time, we know how to bring it back.

IShellLink *CreateShellLinkFromMemory(HGLOBAL hglob)
{
 IShellLink *pslReturn = NULL;
 CComPtr<IStream> spstm;
 if (SUCCEEDED(CreateStreamOnHGlobal(hglob, FALSE, &spstm))) {
  CComPtr<IShellLink> spsl;
  if (SUCCEEDED(spsl.CoCreateInstance(CLSID_ShellLink))) {
   CComQIPtr<IPersistStream> spps(spsl);
   if (spps && SUCCEEDED(spps->Load(spstm))) {
    pslReturn = spsl.Detach();
   }
  }
 }
 return pslReturn;
}

We create a new shortcut object and tell it to restore itself from the chunk of memory we squirreled away. Bingo, the shortcut is back, ready for action.

int __cdecl wmain(int argc, WCHAR **argv)
{
 if (SUCCEEDED(CoInitialize(NULL))) {
  HGLOBAL hglob = CreateShellLinkInMemory(argv[1]);
  if (hglob) {
   CComPtr<IShellLink> spsl;
   spsl.Attach(CreateShellLinkFromMemory(hglob));
   if (spsl) {
    WCHAR szTarget[MAX_PATH];
    if (spsl->GetPath(szTarget, MAX_PATH, NULL, 0) == S_OK) {
     wprintf(L"Welcome back, shortcut to %s\n", szTarget);
    }
   }
   GlobalFree(hglob);
  }
  CoUninitialize();
 }
 return 0;
}

Since shortcuts can be stored anywhere, you can't rely on the file name to distinguish between shortcuts to files and shortcuts to folders because there may not be a file name at all! (What's the file name for our HGLOBAL?) Even if you decide that the convention applies only to shortcuts saved in a file, you've created an additional burden on people who manipulate shortcut files: They have to check whether the target is a file or folder before choosing the file name, and if the target of the shortcut changes, they may have to rename the file as well. This is a real problem for the standard file property sheet: If you change the shortcut target from the Shortcut page, this might change the underlying file name. If you had also made changes to the Security page, it will try to update the security attributes on the old file name, even though the Shortcut page had renamed it. Oops, none of the other property sheet pages work, because they are now operating on a file that no longer exists!

Exercise: Under what conditions would it be useful to store a shortcut in memory rather than in a file? (Answer.)