I want to generate an alert if someone copies some file from sensitive folder to a USB device.

There is no way to do this by monitoring!

It would be the work of seconds to defeat any attempt to monitor what files are being copied onto a USB device.

First, they could simply change the name. So then you'd need to (say) MD5 every file you find on EVERY USB device and check it against a list of known MD5 signatures. So then all they need to do is zip it; or encrypt it; or add a few byte to the front or the end of it; or just write it to the device reversed.

Reading between the lines you appear to be trying to impose or regulate some security directives. The proper way to tackle the issue is using your OSs security mechanisms.

I'm going to assume (based on your mention of .lnk files) that you are using Windows. In which case the correct mechanism to use is ACLs.

You (for example) could to define a group policy that PERMITs access to the "sensitive folder", and also DENYs access to all USB (or all removable) devices. When someone needs access to the sensitive data, you make them a member of that group. They can see the required data, but can no longer get access to USB devices.

Equivalent mechanisms are probably available for other OSs, but that is beyond my knowledge.