No Permissions (!?) to make Mac alias to a Windows folder

I'm running Parallels Desktop 13for Mac.
Frequently I run a Windows app that creates data in a Windows folder, and I want a Mac app to read that data.
How might I do this?
I've tried to make a Mac alias (command-L) to the folder, but the Finder complains:
The operation can't be completed because you don't have the necessary permission.
How do I fix this?
Or is there another method to get the Mac programs to find the file?
I have yet to make either of these methods work for me:
(a) Make a Mac alias to a Windows folder.
(b) Make a Windows link to a Mac folder.

 

Hi @JamesS16 , please help us with the screenshots of the error message.

 

Here are two screenshots: The first follow the request to make an Alias:
and here's the result:
In case the screenshots don't appear, here re the URLs:
https://www.dropbox.com/s/6k7bz110k3jlwpf/screenshot_661.jpg?dl=0
https://www.dropbox.com/s/8vvw05mhpbgblyb/screenshot_660.jpg?dl=0

 

Hi @JamesS16, Windows does not allow to create shortcuts (aliases) in that directory. Windows in this situation offers to create a shortcut on Desktop (see attached screenshot), we will research if it's possible to create a similar functionality.
I propose the following solution (if it's possible to configure the program to save files in another directory): create a directory in your Windows user's folder, then you will be able to create an alias via Finder with no issues. Will that work?