Recently I had cause to create a symlink in Windows. I had a WordPress theme on one drive and an installation of Bitnami's WordPress stack on the system drive. I didn't want to copy the files over and have to copy them back so a symlink was the ideal solution.
In Powershell the syntax is:
New-Item -Path C:\Path\To\Symlink\<symlink-name> -ItemType SymbolicLink -Value "E:\Path\To\Target"