Could it be that you are poiting with your shortcut to a path that is invalid?
For instance
- You are pointing at "C:\ProgramFiles\MyDocuments\This.txt" , but in reality it is "D:\MyFiles\This.txt"?
- You are pointing to a map that isn't excisting such as C:\ProgramFiles\MyDocuments\FilesGoHere" , but the folder 'FilesGoHere' is a non-excisting map?