For those of us who use the newer Powershell, instead of the legacy cmd.exe, mklink isn't available. But you have some different options:

- Use the sysinternals tools, as recommended in the comment below

- Install PowerShell Community Extensions and use New-HardLink, New-SymLink, New-Junction, Remove-ReparsePoint http://pscx.codeplex.com/

- Use ln.exe

- c:\Windows\system32\fsutil.exe create hardlink

- Use mklink anyway: PS C:\> cmd /k mklink /D foo bar