I can do right-click > Copy > Copy Item URIs. Then in a File Explorer window I can right-click > New > Shortcut > paste > Next > type name of shortcut > Finish. Now I have a URL file that links to the IQ items.

 

How about an option to Save Link As > file save dialog > navigate to desired location > type desired name of URL file > OK.

 

Or drag and drop of selected item(s) to an File Explorer window > URL file is created > rename as desired. I tried this and the plus sign appeared over the cursor as if a link would be created, but nothing happened.