Linking a file in Visual Studio .NET
If in VS.NET you add to the current project an existing file that's located outside the current project's directory, the file is first copied in the project's directory, and then it's added to the project. However, you may want to share the same source file among multiple projects, so that if you modify the code from one project (to fix a bug, for example) the updated code is immediately available to the other projects. To add a shared file, open the dialog to select an existing file with the Project | Add Existing Item… menu item and select the file you want to include. Then, instead of clicking the Open button, click the arrow on the left of that button, and click Link File from the list that drops down. This way you link to the original file, not to a local copy of it.
of course you can share file in VSSif u want link file in OS, u can use fsutil in xp or win2003.