If you're an advanced Linux or Mac user like myself who also uses Windows, one of the features you miss most is the ability to create links to files that are treated by the operating system exactly as if they were the file.
Sure, Windows has its easily accessible "shortcut" function, but it's not nearly as useful. Fortunately, Windows has actually had the ability to make filesystem links since 2000. Here's a good article describing what a filesystem link (there are two kinds hard and symbolic) is and what programs you can use. For those who already know what links are, here are the two best apps for using them in windows: Junction (command-line), and NTFS Link (integrated into Windows Explorer).
Once you start using these two apps, you'll ever wonder how you did without them.