Does an application expect a file/dir somewhere, where you don't want to store your data?

use:

mklink
Creates a symbolic link.

MKLINK \[\[/D\] \| \[/H\] \| \[/J\]\] Link Target

        /D      Creates a directory symbolic link.  Default is a file symbolic link.
        /H      Creates a hard link instead of a symbolic link.
        /J      Creates a Directory Junction.
        Link    specifies the new symbolic link name.
        Target  specifies the path (relative or absolute) that the new link refers to.