Starting from Vista FOLDERID_Links const was added. It points to Favorites of Windows explorer. My code (Delphi, but the main idea is visible):
procedure AddFileObjectToFavorites(AParent: HWND; const AObjectFileName: UnicodeString);
  function GetFavorites: PItemIDList;
  begin
    if IsWindowsVistaOrLater then
      OleCheck(SHGetKnownFolderIDList(FOLDERID_Links, 0, 0, Result))
    else
      OleCheck(SHGetFolderLocation(AParent, CSIDL_FAVORITES, 0, 0, Result));
  end;
var
  Desktop: IShellFolder;
  Eaten: DWORD;
  Attr: DWORD;
  ObjectIDList: PItemIDList;
  ObjectParentFolder: IShellFolder;
  ObjectChildIDList: PItemIDList;
  LinksIDList: PItemIDList;
  LinksParentFolder: IShellFolder;
  LinksChildIDList: PItemIDList;
  DataObject: IDataObject;
  LinksDropTarget: IDropTarget;
  Effect: Integer;
begin
  OleCheck(SHGetDesktopFolder(Desktop));
  try
    Attr := 0;
    OleCheck(Desktop.ParseDisplayName(AParent, nil, PWideChar(AObjectFileName), Eaten, ObjectIDList, Attr));
    try
      SHBindToParent(ObjectIDList, IShellFolder, Pointer(ObjectParentFolder), ObjectChildIDList);
      try
        LinksIDList := GetFavorites;
        try
          OleCheck(SHBindToParent(LinksIDList, IShellFolder, Pointer(LinksParentFolder), LinksChildIDList));
          try
            OleCheck(LinksParentFolder.GetUIObjectOf(AParent, 1, LinksChildIDList, IDropTarget, nil, LinksDropTarget));
            try
              OleCheck(ObjectParentFolder.GetUIObjectOf(AParent, 1, ObjectChildIDList, IDataObject, nil, DataObject));
              try
                Effect := DROPEFFECT_LINK;
                OleCheck(LinksDropTarget.DragEnter(DataObject, 0, Point(0, 0), Effect));
                if Effect and DROPEFFECT_LINK = 0 then
                  begin
                    OleCheck(LinksDropTarget.DragLeave);
                    raise Exception.Create('Cannot drop');
                  end;
                Effect := DROPEFFECT_LINK;
                OleCheck(LinksDropTarget.Drop(DataObject, 0, Point(0, 0), Effect));
              finally
                DataObject := nil;
              end;
            finally
              LinksDropTarget := nil;
            end;
          finally
            LinksParentFolder := nil;
          end;
        finally
          CoTaskMemFree(LinksIDList);
        end;
      finally
        ObjectParentFolder := nil;
      end;
    finally
      CoTaskMemFree(ObjectIDList);
    end;
  finally
    Desktop := nil;
  end;
end;