I have a game that uses this file structure:
GAME FOLDER
->data
->data->run.bat
I want to put a shortcut to run.bat i
I like leoj3n's solution. It can also be used to set a relative "start in" directory, which is what I needed by using start's /D parameter. Without /c or /k in as an argument to cmd, the subsequent start command doesn't run. /c will close the shell immediately after running the command and /k will keep it open (even after the command is done). So if whatever you're running spits to standard out and you need to see it, use /k.
Unfortunately, according to the lnk file specification, the icon is not saved in the shortcut, but rather "encoded using environment variables, which makes it possible to find the icon across machines where the locations vary but are expressed using environment variables." So it's likely that if paths are changing and you're trying to take the icon from the executable you're pointing to, it won't transfer correctly.