If you mean you want to list all of the shortcut files in a folder, then that's trivial:
string[] files = Directory.GetFiles(@"C:\Users\PaulG\Desktop\Utilities", "*.lnk");
Then all you have to do is display them:
myComboBox.Items.AddRange(files);
If that isn't what you are having difficulty with, then you need to be a lot more specific about your problem and what help you need! Remember that we can't see your screen, access your HDD, or read your mind - we only get exactly what you type to work with.