First find out the name of the executable that whatever shortcut you are using is pointing to. Do this by right-clicking the shortcut and looking at the name of the file its pointing at. Next press Ctrl-Alt-Delete. Click on the processes tab in the task manager that pops up. Look to see if the executable file that your shortcut points to is in the list. If it is, then right-click it and hit end process. DO NOT end any process you don't recognize. After this try and uninstall it again. My brother used to have a similar problem when he tried to update world of warcraft.
If this doesn't work then I suggest that you contact the developer or post on forums dedicated to that particular game to see if they know anything about your problem.
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since Jul 2005