Sorry for no follow-up, this one somehow slipped through the cracks.
Reading again your "Samba is working fine and both the windows (vista) machine and my Xbox (XBMC) can read/write perfectly", I'm doubtful that symlinks will work because they work within the Linux file system environment but the "namespace" is (please confirm) different when they are mounted via Samba.
In Linux you can easily create a symbolic link on /symlinks_share pointing to /drive1/my_directory but, assuming you mount /symlinks_share on Vista as X: and /drive1 as T:, Vista isn't going to know what to do with X:\my_directory pointing to /drive1/my_directory.
It may be possible to create Windows shortcuts (*.lnk files) on X: that do what you want.
I don't know enough about Samba or Vista to give much more help.
If you don't get an answer you could post again mentioning Samba, Windows and, say, "virtual directory" in the title of the post. That way people who have expertise in those areas may be attracted to read the post.
"Auto creation of Symlinks" in Linux is easy but I don't think it will address your requirement.