The shortcut target address is correct, so the icons are probably good.
Click Start, then Run, type regedit and click "Ok". Registry Editor will open.
In the left pane, expand (click +) HKEY_CLASSES_ROOT and click on .exe
The values in the right pane for this key should be as follows:
(Default) = exefile
Content Type = application/x-msdownload
Is this what you find?