no, the files are in the proper place an should be found.
I just tested my xp pro pc and created a shortcut on my desktop to this forum, It worked fine.
that tells me either your system is infected, or some files are corrupted.
so first:
what is your current antivirus?
do you have any other scanners installed?
do the following:
Download, install, update and do full scan with these free malware detection programs:
Malwarebytes (MBAM):
http://www.malwarebytes.org/products/malwarebytes_free
SUPERAntiSpyware: (SAS):
http://www.superantispyware.com/
Remove all found, reboot, and run again until scans run clean, these can be removed afterwards if you so choose. Run scans one at a time, please.
when scans come clean then:
secondly
I want you to run checkdisk, preferably from the recovery console but it can be run from within windows, just have to restart several times
go to start, run, type in cmd
in cmd type in chkdsk c: /r and press enter
type Y for yes and press enter
type exit and press enter
restart pc, allow checkdisk to finish and run again
you can view the report in event viewer:
go to start, control panel, administrative tools, event viewer, applications log, winlogon entry.
run until no errors are found, therefore at least twice, this is a lengthy process depending on the size of your drive, and do not be concerned if at times the percentages will seem to fluctuate, this is normal.
post back with results of scans and when checkdisk has found no more errors, and you have tested the creation of your shortcut.
does it now work?