the first example if fine except you need to use cmd.exe /c
if you want it to be executed so
Dim process As New Process
process.StartInfo.FileName = "cmd.exe"
process.StartInfo.Arguments = "/c mklink """ + arma2oaAddons + """ """ + arma2Addons + """ /j"
process.StartInfo.WorkingDirectory = "C:\"
process.Start()