Well, unlink(1) is the Nixen-like command to remove a link, but rm(1) works fine, too. AAMOF, they're identical on my system. In either case, I'm assuming you've adequate permissions, of course.
In windows, that's "del" IIRC. 🙂 As for "any and all", that's a job for find(1) in Unix. Being less than a total Unix Guru(tm) myself, I'd likely pipe it to xargs(1) and thence rm(1), but again IIRC, find(1) takes a "-delete" option. In Windows, I guess I'd search for "*.lnk" and CTL-A, delete key, etc. Lots of ways to skin a cat.