Once upon a time, a specific extension called shortcut.dll [ref?] served in this role [ref to explanation of "Windows shortcut"]. With more recent versions of Tcl, though, the handiest approach is through tcom, as PT illustrated in a comp.lang.tcl follow-up which he composed as "a translation of a MS demo from the MSDN scripting pages":
package require tcom
set oShell [tcom::ref createobject "WScript.Shell"]
set sDesktop [[$oShell SpecialFolders] Item "Desktop"]
set oShortcut [$oShell CreateShortcut \
[file nativename \
[file join $sDesktop "Tcl Shortcut Demo.lnk"]]]
$oShortcut TargetPath [file nativename [file normalize [info script]]]
$oShortcut WindowStyle 1
$oShortcut Description "Demonstrate shortcut handling with Tcl"
$oShortcut Save
...