Another way could be through adding .LNK
to your $PATHEX.
Then just create a shortcut to your executable (ie: yourshortcut.lnk) and put it into any of the directories listed within $PATH.
WARNING NOTE: Know that any .lnk files located in any directories listed in your $PATH are now "PATH'ed" as well. For this reason, I would favor the batch file method mentionned earlier to this method.