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To create a link to a file in Windows, you can go to the Properties menu and copy the Location first. Then, paste the entire file name with the file extension at the end of the location.
You can create a file without a File Type Extension in Windows 11/10 by carefully following the steps laid down in this post.
Command Prompt lets you create all kinds of files on your Windows PC. Here's a guide explaining all the different methods to create a file using Command Prompt.
How to create PowerShell script file on Windows 11 and 10 It's possible to create PowerShell script files using any text editor or the legacy ISE application.