I'm installing a game mod and it asks to create a .lnk file. Is this possible in Crossover?

Platform

MacOS Sonoma
Windows 11 Bottle
Crossover 23.7.1 for MacOS
Fallout New Vegas via Steam install

Yes. The "Create Launcher" button does create a Windows .lnk file behind the scenes.

If you need more control over the process, the CrossOver GUI does this using a builtin program called cxmklnk which takes the following arguments:

One of the following to specify the lnk filename:
  --desktop LNK   Names the shortcut to create on the user's desktop.
  --startmenu LNK Names the menu to create in the user's Start Menu.
  --programs LNK  Names the menu to create in the user's Start Menu/Programs folder.
  --lnkfile LNK   Specifies the full Windows path of the shortcut to create.

This must be specified to set the target:
  --target EXE    The Windows executable that the shortcut should point to.

These are optional:
  --args ARGS     The command arguments.
  --workdir DIR   The working directory.

You can run cxmklnk using "Run Command", cmd (which can be accessed through Run Command), or CrossOver's wine command with the --wl-app switch.