Does an application expect a file/dir somewhere, where you don't want to store your data?
use:
mklink
Creates a symbolic link.
MKLINK [[/D] | [/H] | [/J]] Link Target
/D Creates a directory symbolic link. Default is a file symbolic link.
/H Creates a hard link instead of a symbolic link.
/J Creates a Directory Junction.
Link specifies the new symbolic link name.
Target specifies the path (relative or absolute) that the new link refers to.