On the keyboard, depress ctrl + shift and at the same time in Windows Explorer, drag from the file with your mouse pointer. It will create a shortcut to that file or folder in the same window.
An even quicker more clever way is to simply right-click while dragging your mouse off the file or folder in Windows Explorer, then release your mouse and a scroll will open, select Create Shortcuts here. Right-click culture is always the answer to most of life's problems anyway.
You can also select many files or folders at one time and do the same thing, which will create a bunch of shortcuts all at once.
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