Here is an example:
; Create application shortcut (first in installation dir to have the correct "start in" target)
SetOutPath "$INSTDIR\bin"
CreateShortCut "$INSTDIR\bin\${NAME}.lnk" "$INSTDIR\bin\${NAME}.exe"
; Start menu entries
SetOutPath "$SMPROGRAMS\${NAME}\"
CopyFiles "$INSTDIR\bin\${NAME}.lnk" "$SMPROGRAMS\${NAME}\"
Delete "$INSTDIR\bin\${NAME}.lnk"