I've been looking for a solution to this problem for ages, and I can't believe I've only just found it. The problem I had was that I was trying to create a symbolic link to a location on my network drive from my computer without the use of a shortcut, so Windows actually treated the symlink as a local folder. I was under the impression this was impossible under Windows, but I found a command that allows you to do it.
The mklink command lets you make a symbolic link to either a local or remote file or folder, with the use of the /d for a directory. The video below shows how to create a symlink called Test that points to the root of my C:\ Drive.
In the video I used mkdir /d Test C:\ whilst I was in my desktop directory. It's also worth noting that if you want to use spaces in either the target file name or the symlink file name, you will need to put all of the names in quotation marks, such as mkdir /d "Foo Bar" "\\FOO\Foo Bar\". Make sure you're running command prompt as an administrator.
