Sharepoint experience
====== Add a new folder in the shared document ======
Navigate to the site to edit
Site Actions -> View all site content
-> Select the Shared documents and its folder where to add shortcut
Under "Library Tools" Menu, click "Documents",
Click "New Folder" to create the folder
====== Add a new URL in the shared document ======
Site Actions -> View all site content
-> Select the Shared documents and its folder where to add shortcut
Under "Library Tools" Menu, click "Library",
Click "Open with explorer",
then use explorer to create shortcut as you want.