There's an app called Junction for soft linking to directories, but I'd like to soft link to files as well.
First off, if you're using XP, you'll want Link Shell Extension to help visualize those junctions. Otherwise you'll almost certainly run headlong into one of Explorer's bugs wherein if you attempt to delete a junction, it'll clear out the contents of the destination first before deleting it. Vista and newer are fixed in this regard, but LSE will also work around the bug on XP (along with providing a great deal of other useful functionality for those of us who make significant use of the various types of links).
As a bonus, it also includes a symlink driver for XP. Since no on-disk format changes were required for Symlinks in Vista, the only thing that XP needs is an implementation. LSE provides that too.