I created a shortcut to a folder on my Windows 7 machine, which was copied via a login procedure to clients running XP and Windows 2003.
If you then launched an application (say Notepad) and went to open a file from File>Open, and browsed to where the shortcut (lnk) was it did not show up. If you looked in Explorer it was there, and if you opened the location it would open.
If after opening the shortcut in Explorer you then went back to the app and did a file/open again you could see the shortcut, as if opening it in Explorer had 'fixed it'
I removed the original shortcut and recreated it on an XP machine, and it worked first time as expected.
Has the format of the lnk files changed between 2003 and Windows 7?