Hardlinks are something that I always thought were not supported in windows. Now with the NTFS file system hard links can be used.
In dos the fsutil command can be used to create a hardlink from a specific file. Using a command like the following:
fsutil hardlink create newFile.txt originalFile.txt
From what I can tell this does not support hardlinking a directory. In order to hardlink a directory you would have to purchase the windows 2000 resource kit and use the linkd program to do this.
Although, now there is another program created by Sysinternals/microsoft called junction which gives the functionality to hardlink a file or directory.
To top it off for everyone who likes gui programs there is a shell extension which also gives this ability which can be found here.