Cygwin supports creating and reading symbolic links, even on Windows filesystems and OS versions which don't support them. See the section called “Symbolic links” for details.
Hard links are fully supported on NTFS and NFS file systems. On FAT and other file systems which don't support hardlinks, the call returns with an error, just like on other POSIX systems.
Source: https://cygwin.com/cygwin-ug-net/highlights.html
O utilitário no Windows é chamado mklink