So what is this for?
32bpp graphics can be stored in .tar files. Inside the .tar their paths are like "sprites/<name of 8bpp grf>/<spritenumber>.png". The problem up to now was, that .grf files exist in two versions (dos resp. windows palette) with two different file names. OTOH most [1] 32bpp graphics are not affected by the palette difference, so one 32bpp .tar should be enough for both of the 8bpp .grf files. But because of the different file names this did not work. [2]
Now you can add symbolic links to your .tar file [3]. I.e. if your .grfs are named 'mynewgrf.grf' and 'mynewgrfw.grf' you can put your 32bpp .png files in 'sprites/mynewgrf/<sprite number>.png' and add a symbolic link from 'sprites/mynewgrfw' to 'mynewgrf'. That way your .tar works for both .grf files.

Some restrictions:
- If you use a directory-link like above, the images need to have the same sprite numbers in the dos and windows grfs.
So if for some weird reason your 8bpp grfs are not 'in sync', you should add some ActionC NOPs to make them 'in sync'.
Alternatively you can add a file-link for every sprite. (You can also use file links if the same sprite has to appear multiple times in your grf for some reasons). - The links have to use relative paths. I.e. your 'sprites/mynewgrfw' link can point to '../sprites/mynewgrf' (stupid example), but not to '/sprites/mynewgrf' or even '/usr/local/share/games/openttd/data/sprites/mynewgrf' (for obvious reasons).
- Because of performance and simplicity you cannot concatenate multiple directory links. I.e. when OTTD searches for the file 'sprites/mynewgrf/123.png' you cannot add a link 'sprites'->'mysprites' and 'mysprites/mynewgrf'->'mygraphics'. Only one directory link is resolved for files. (However if you have a link 'sprites/mynewgrf'->'../mygraphics', 'mygraphics/123.png' is still allowed to be a file link to e.g. 'mysprites/my123sprite.png'.)
- File links have to point directly to their destinations, other links must not be involved. E.g. if you link from 'sprites/mynewgrf/123.png' to 'mysprites/mypathelongation/my123sprite.png', all three parts 'mysprites', 'mypathelongation' and 'my123sprites.png' must be directories resp. files (i.e. no links).
So, now you are ready to make your 32bpp tars capable to both windows and dos palette grfs.

[1] Those without palette animation.
[2] This has been known quite some time, but because it was not reported to http://bugs.openttd.org it has been forgotton.

[3] Might not be that easy using windows though.