When you create and install the CAB file from witin VS, it will properly install this txt file an an LNK in the device memory where you wanted it.
This seems to bypass VS's check to see if it can resolve the link when it's being added to the cab files system.
From http://www.developmentnow.com/g/18_2007_3_0_0_950489/creating-link-for-help-file.htm
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