Method:  WshShortcut.Save

object.Save

The Save method saves the shortcut at the location specified by the FullName property. All changes made to a shortcut object will be lost unless this method is called before destroying the object.

The following JScript code creates a new shortcut called "test.lnk" and saves it in the temp directory.

Code:
objShell = WScript.CreateObject("WScript.Shell")
objShtCut = objShell.CreateShortcut("C:\temp\test.lnk")
objShtCut.Save()