There's a good chance the Registry entries that control the behavior of shortcuts has somehow become damaged. A badly-written third-party program might have caused this to happen, but it's entirely possible that this behavior occurred on its own. Fortunately, it isn't difficult to repair -- Microsoft Knowledge Base article 177909 describes in detail how to do this. It involves changes to the Registry, which can be done either by hand or by creating a .REG file with the following contents and double-clicking it to integrate it into the Registry:
REGEDIT4
[HKEY_CLASSES_ROOT.lnk]
@="lnkfile"
[HKEY_CLASSES_ROOT.lnkShellNew]
"Command"="C:WINDOWSrundll32.exe
AppWiz.Cpl,NewLinkHere %1"
This was first published in July 2004
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