You're going to need both filesystem and OS support for softlinks, hardlinks or symlinks. Most portable media players use really simple filesystems underneath, fat32 for players that are accessible as a mass storage devices (or MTP), or various vendor specific filesystems for ptp, and basic OSes. If it was one of the newer android based players, then it would use an ext varient and this might work.
While, in theory you could reformat a mass storage class device to a file system that supports these features, the simple OS on most PMPs wouldn't support it. That said, this sounds like an XY problem - you might be able to get a better solution by focusing on why you want/need to link that file.
Well, darn. Thanks for the prompt and clear response. – dpitch40 – 2012-08-13T00:56:46.940