Interesting username, but other than that could we have a bit more information please?
What sort of files/applications are you trying to shortcut to and what operating system are you using?
How long has this been happening, when did it start? Is this the first time it has happened, how long had you had your computer before this problem started?
If you are using XP, then I would tell you to try re-registering shdocvw.dll, or maybe to dl a fresh copy from M$ updates and registering that. It appears in lots of KB$s. Do...
regsvr32 shdocvw.dll in a cmd window.
In W7 or Vista... I don't know, i don't have them. Search in system32, if it's there, then...
i did a reinstall 3month ago im running win 7 had comp for 6 years no probs prior shortcut are various news weather lottery google etc never had problems before i did a 2nd reinstalation and still the same thx...larry