Yes, File Explorer can do it. Press and hold on the required file then select "Copy". Go to the folder where you want the shortcut. Press and hold on a blank area of the form then select "Paste shortcut"
EDIT - More detail - I assume you want it see it in the Program menu so paste the shortcut in
"My Device\Windows\StartMenu\Programs" and rename it to whatever you want. If you want you can make sub-folders here to contain your shortcuts - like Games that should already be there.