How can I add a reference to Shell32.dll?

Right now, you cannot load PowerShell assemblies into LINQPad. This is because PowerShell is hardcoded to run only in the default ALC. This excludes a number of scenarios, including running as a plug-in, and running in a scripting environment such as LINQPad. I created an issue here last year to track this:
https://github.com/PowerShell/PowerShell/issues/17492

What are trying to accomplish with Shell32? There should be easier ways to do most of this in .NET.

The system32\shell32.dll file in that StackOverflow answer is an unmanaged DLL. I don't know how that answer can possibly be valid.

Yes, you can use Shell32 just as you would in Visual Studio. But not by adding a reference to it, because it's a native DLL that's part of Windows. Here' an example from StackOverflow that you can run in LINQPad:

void Main()
{
    ShellAboutW(IntPtr.Zero, "hello#whats up", null, IntPtr.Zero);
}

[DllImport ("shell32.dll", CharSet = CharSet.Unicode, ExactSpelling = true)]
public static extern int ShellAboutW (
    IntPtr hWnd,
    string szApp,
    string szOtherStuff,
    IntPtr hIcon);