Please be aware that mklink only works for versions of Windows from Vista onwards, ie Vista, Windows Server 2008, Windows 7. For previous versions of Windows you will need to use the Junction utility instead.
Unfortunately Junction only allows you to set up a link to a folder on a Local Disk Drive (a drive inside your computer) but will not allow you to use a network drive such as a NAS.
If you want to set up a link to a folder on a NAS you will need to use MKLink. MKLink will also link to a folder on a local drive, so if you have a later version of Windows you can stop using Junction and use MKLink all the time.
MKLink works beautifully. Because my local drive is a 120Gb solid state drive I have no room for storing data which would be a problem if I didn't have MKLink. But many programs insist that your data is stored on the Local C:drive, such as Microsoft Outlook, Google Picasa, iPad backups. MKLink allows me to store all these data sources on my NAS L:drive instead.