I used
winshell in the past to create special shortcut in SendTo folder. very handy. Both my script and the shortcut creation tool were converted to exe. Then I used inno setup to create installation manager. The shortcut creation tool was run during the installation process.
why not use Inno Stup or similar (e.g. InstallCreator) for the installation process? I.e. you can create desktop icon with it. I know it can create shortcut also in my case, but I needed to get more information from the user and that is why I used custom script to create the sendto link (didn't find how to do it with inno).