I found this code on this site and it works.
$shell = New-Object -ComObject WScript.Shell
$Location = "C:\ProgramData\Microsoft\Windows\Start Menu\Programs"
$shortcut = $shell.CreateShortcut("$Location\clickme.lnk")
$shortcut.TargetPath = "notepad.exe"
$shortcut.IconLocation = "shell32.dll,2"
$shortcut.Save()
But I need to add a value for the START IN property. I've tired
$shortcut.Start = "C:\Windows"
$shortcut.StartIn = "C:\Windows"
And the shortcut does get created but the START IN is left blank.