@PilgrimHiker,
You make a short cut to the drive / folder it is located at. This also counts for any partition on a shared physical drive. A-Z etc all could be short cuts on the
desktop,
taskbar
start menu,
or wherever you want it to be.
..............
Windows 11 clearly is emulating Linux ( staring down that path ), and has dropped support for earlier programs. That being said many Linux apps have to be compiled before usage.