First, make sure you've granted the "Create symlinks" permission to the relevant users, as detailed here.
mklink command will not work for me if my user is an administrator. It gives:
You do not have sufficient privilege to perform this operation.
To make it work, I then need to either remove my user from the administrators group, or run
mklink from a
cmd which has been run as a non-Administrator user such as guest:
runas /user:guest cmd
(Enable the guest account if it isn't already)
Using this latter method, you'll also have to temporarily grant permissions for 'guest' account to modify the location you're creating the Symbolic link in, which in my case was my home directory, causing a flurry of error dialogs, but they seemed harmless.