Yes, but .lnk is used for shortcuts to executables. You could make a shortcut like:
code:
"c:\program files\Messenger Plus! 3\msgplus.exe" -script -name=brb
But i don't think that will be practical. If you just make the "scripts" save in files with their own extension you will only have to make something that handles this extension. This way you can still double click the files, and you don't need to make shortcuts to them.