If the shortcut points to a share on a server, you might need to adjust the
IE7 security settings. These are the settings that worked for a similar
setup at a client.

Open the IE settings from Tools, Internet Options. On the Security tab
select Local Internet and click Sites. Clear the checkbox for "Automatically
detect intranet" and check the other 3 boxes. Click the Advanced button on
that same dialog box and add file://ServerName to the list of trusted sites.
Clear the checkbox to "Require server verification (https) for all sites in
this zone".