WHY

这样试试

Dim fso, objShell, strDesktop, strCurrentDir
Set fso = CreateObject("Scripting.FileSystemObject")
Set objShell = CreateObject("WScript.Shell")
strDesktop = objShell.SpecialFolders("Desktop")
strCurrentDir = Left(WScript.ScriptFullName, InStrRev(WScript.ScriptFullName, "\")-1)

Dim objFile, strName, strLnkName, objLnk
For Each objFile In fso.GetFolder(strCurrentDir).Files
    IF LCase(Right(objFile.Path, 4)) = ".exe" Then
        strName = fso.GetBaseName(objFile.Path)
        strLnkName = strDesktop & "\" & strName & ".lnk"
        Set objLnk = objShell.CreateShortcut(strLnkName)
        objLnk.TargetPath = objFile.Path
        objLnk.WorkingDirectory = strCurrentDir
        objLnk.Save
    End If
Next
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WHY

那这样呢？
保存为Test.bat，把Test.bat与你的exe文件放在同一文件夹下

@if (0)==(0) echo off
pushd "%~dp0"
dir /b /a-d *.exe | cscript //nologo //e:jscript "%~f0" "%~dp0"
pause & exit
@end

var strCurrentDir = WScript.Arguments(0);
var objShell = new ActiveXObject('WScript.Shell');
var strDesktop = objShell.SpecialFolders('Desktop');

while(!WScript.StdIn.AtEndOfStream){
    var strFile = WScript.StdIn.ReadLine();
    var strName = strFile.replace(/(.+)\.exe$/i, '$1');
    var strLnkName = strDesktop + '\\' + strName + '.LNK';
    var objLnk = objShell.CreateShortcut(strLnkName);
    objLnk.TargetPath = strCurrentDir + '\\' + strFile;
    objLnk.WorkingDirectory = strCurrentDir;
    objLnk.Save();
}
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WHY

把当前目录（包括子目录）中的所有exe文件创建LNK快捷方式到 "E:\快捷方式" 目录中
快捷方式文件有重名时，后创建的文件覆盖之前创建的文件。

@if (0)==(0) echo off
set "strLnkDir=E:\快捷方式"
md "%strLnkDir%" 2>nul
pushd "%~dp0"
dir /b /s /a-d *.exe | cscript //nologo //e:jscript "%~f0" "%strLnkDir%"
pause & exit
@end

var strLnkDir = WScript.Arguments(0);
var objShell = new ActiveXObject('WScript.Shell');

while(!WScript.StdIn.AtEndOfStream){
    var strFile = WScript.StdIn.ReadLine();
    var strName = strFile.replace(/.+\\(.+)$/i, '$1');
    var strLnkName = strLnkDir + '\\' + strName + '.LNK';
    try {
        var objLnk = objShell.CreateShortCut(strLnkName);
        objLnk.TargetPath = strFile;
        objLnk.WorkingDirectory = strFile.replace(/(.+)\\.+$/, '$1');
        objLnk.Save();
        objLnk = null;
    } catch(e) {
        WScript.Echo(e.message);
    }
}
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