If you want to try to create the link, you will need to login to your Unix-based server using SSH and then run the "ln" command. If the operating system on your server is not unix/linux, or if you don't have SSH access to the server, then probably you can't create such a link.
However, I don't think you should need to create a link. Could you tell us a little about your site? What version of Moodle? If Moodle 1.5, have you ever upgraded the HotPot module? If so, do you know what you upgraded it to?