virtualbox.org

Host - Win 7 x64
Guest OS Kubuntu 10:04 (KDE + GNOME)
I am in GNOME
I've put the path of my desktop folder to Windows (shared folder).
I was not be able to put a link to desktop. I got a message: The target doesn't support symbolic links.
What is the problem?

I would guess it is because you are essentially trying to create a symbolic link across (what is effectively) a network share and this is not permitted.