You can do it in Powershell the same way that you do it in C#... that's the awesome power of PowerShell :)
[Microsoft.TeamFoundation.WorkItemTracking.Client.Hyperlink]$NewLink = New-Object -TypeName Microsoft.TeamFoundation.WorkItemTracking.Client.Hyperlink -ArgumentList $newlocation
$wit.Links.Add($NewLink)
I first use the PowerShell function above to pull in the relevant DLL's then I have access to the Above is the code to create and add a new Hyperlink. From this you should be able to easily create other types of links.