KB Article: http://support.microsoft.com/kb/936881
On a computer that has Internet Explorer 7 installed, you click a hyperlink that links to an Internet shortcut file. Then, you save the shortcut file to the local disk. When you double-click the shortcut file, you cannot open the file. Additionally, you receive an error message that resembles the following:
Problem with Shortcut
The target "" of this Internet Shortcut is not valid. Go to the Internet Shortcut property sheet and make sure the target is correct.
If you examine the properties of the Internet shortcut file when this problem occurs, the Type of file field indicates that the file type is Internet Shortcut (.url). However, the Web Document tab may disappear. Also, on the Details tab, the URL string may disappear.