Here's a warning for those heeding the announcement at the top of the forum to update to Java 7 Update 11. After you install Java 7, you will not be able to recreate your server console link. This is true at least on Windows Server 2008 R2. If by chance you delete your console shortcut, you will need to download Java 6. I think Java 6 Update 16 was the last version that I could get the console shortcut to generate.
Edit: Once the shortcut is created using Java 6, you can uninstall Java 6 and install 7. The shortcut should still work.