[phasnip@mijpnb1 ~]$ ln -s Teaching/Linux/linux.tex .
Be warned that Linux does not check that the actual file exists until you try to do something with it. This can be quite useful, but can also lead to confusion.
Links have an `@' sign appended to their filenames when you do ls -F, and if you do ls -l you'll see their type is listed as l and Linux shows where the link points to.
[phasnip@mijpnb1 ~]$ ls -F a.out* ifort@ minimiser.dvi quality.sty test.F90 castep_CVS.tar junk minimiser.log Rules/ tmp/ Data/ linux.tex@ minimiser.tex t Desktop/ list minimiser.tex~ t~ hermes.addresses minimiser.aux Nautilus/ Teaching/
[phasnip@mijpnb1 ~]$ ls -l li* lrwxrwxrwx 1 phasnip phasnip 24 Oct 17 22:37 linux.tex -> Teaching/Linux/linux.tex -rw-rw-r-- 1 phasnip phasnip 75 Oct 18 01:06 list
Please note than you can create different types of links, but you will almost certainly always want symbolic link, so always use ln with the -s switch.