Under Windows, Dropbox wants everything it backs up to live in its own directory on your hard drive. Not soft/sym-links, but actual files.
However, if you're running Windows and have an NTFS drive, then you can in fact make "hard" soft links to your Dropbox directory without having to actually copy everything physically into the that directory. The tool is Junction, which handles hard links under NTFS. NTFS supports this natively, but MS in their wisdom never distributed a public tool to handle this feature.
