Kumar,

There is no native way to make this happen in Workflow but there are a couple of options though.  LFE shortcuts are simple XML files.  If you are familiar with scripting you can use the workflow 'SDK Script' activity to manually build the appropriate XML file and write it out to a network share.  Here is a link to a Laserfiche resource that defines the appropriate XML structure if you want to go that route.

Another option is to use the Qfiche Toolkit 'Create LFE Shortcut' custom workflow activity which was designed to do just what you are describing.  It was created primarily for those that don't want to have to deal with scripting.  It and other custom workflow activities are available from the Qfiche website.