I doubt it's possible to create a symlink on a windows disk.
FAT16 and FAT32 disks certainly don't support it.
NTFS disks only recently have been given the possibility to mount network shares as specific directories
(before, you had to mount them as a "station" like X

.
So again, it's doubtful if it will work.
Making a symlink on a Linux disk to a file/dir on the Windows disks should work however.
Maybe you could try mounting your Linux disks on Windows via Samba as well? Then Samba takes care of the symlinks, and the Windows user will never get to see them...