The shortcut in Windows is called Alias in MacOS.
Creating an alias
You have several options for creating an alias:
Drag and drop: Click the item you wish to alias and hold down the mouse button. Then, while holding down the
Option keys, drag the item to where you want the alias to appear. Instead of moving the original item, this will create an alias at the new location.
Contextual menus: Hold down the
Ctrl key and click the item you wish to alias. From the contextual menu, select Make Alias. The new alias will appear next to the original.
Keystroke: Select the item you wish to alias, and press
Command-l (the lowercase L). The new alias will appear next to its original.
File menu: Select the item, and then from the File menu, select Make Alias. A new alias icon will appear next to the original.
Once you've created an alias, you can move it to a more convenient location, and then rename it or give it a new icon as you wish.