Eric Newton asks for symbolic and hard links in Windows Vista. Both of these are partially implemented in 2000 and later, though it's not obvious how to use them.
NTFS has supported file hard links for some time via the CreateHardLink() API, and Windows 2000 implements directory symbolic links using reparse points, a filesystem behavior extension mechanism. There's an article on CodeProject describing exactly how junction points work. Symbolic links for files and hard links for directories are not supported.
Sysinternals has a junction utility to manage directory links, and Windows XP includes fsutil for creating file links.
Be careful when using junction points with the shell: Explorer's delete operations nuke everything inside the junction, not the junction point itself! I came across an icon overlay shell extension that's helpful in avoiding that mistake.