According to Problems with File Manager Associations (Q134846) at http://support.microsoft.com/search/preview.aspx?scid=kb;en-us;Q306493 (copy and paste the entire link)
If you use File Manager to create an association for .lnk (shortcut) files, the shortcuts will no longer function correctly. You cannot then use File Manager to re-associate the .lnk extension with shortcut functionality, nor can you restore the shortcut functionality on the File Types tab.
As if you didn't know that now...
However, Restoring .lnk file associations (Q172053) at http://support.microsoft.com/default.aspx?scid=kb;EN-US;q172053 (copy and paste the entire link)tells you how to fix it in the Windows registry. Larry