It's not actually a shortcut in the popular sense, Alex.
It is kind of a route to a folder, which saves you having to go there, or shows a programme the way to a folder (even though the programme may 'think' the folder is something else).
You could think of it as 'forwarding address'.
You can also use it to send files to a storage folder. When you want the program you are using to stop sending files there (for whatever reason) you just delete the link. That leaves all the files intact, in the folder.
When you want to use it again, you just make a new link.
Try looking here to see if it's clearer for you:
http://airdailyx.blogspot.co.uk/2013/11 ... enery.html