I use Total Commander as my file explorer .. it allows you to create a shortcut in a way which is very similar to the way that you might on a desktop.
Alternatively you can use a text editor (Total Commande comes with oneof those too

) to create a file like this
Code:
21#"\Windows\Camera.exe"
.. not sure what the number is for, any other number I use works fine, and different shortcuts have different numbers.
Anyway, then save that text file with a ".LNK" extension, in your
\Windows\Start Menu\ folder.
BTW -- your method of copying the EXE is not what you're looking for: you end up creating a duplicate of the executable instead fo just a link to it. This might seem to work some of the time, but it won't always! AND it will cost you precious space.