According to LLVM's Getting Started (Windows) site:
... Clang can be used to emit bitcode, directly emit object files or even linked executables using Visual Studio’s link.exe.
Why is the use of Link.exe on Windows necessary? And, for that matter, what is used on Mac/Linux? Further down it says:
Compile the program to object code using the LLC code generator:
C:\..> llc -filetype=obj hello.bc
Link to binary using Microsoft link:
C:\..> link hello.obj -defaultlib:libcmt
Why can't LLC perform that last step? LLI seems to work fine so I assume that it interoperates with link.exe somehow under the hood - why can't LLC?
Because no one has written a linker for LLVM.
There is a project to do so (called, unimaginatively lld) but it's not ready yet.
See http://lld.llvm.org for more details.
On the mac, people use Apple's linker, ld.
On Linux, most people use the gnu linker, usually (also) named ld