It is the most usual thing which happens when we open a shortcut that a pop up message is displayed about the security warning. This pop up box is similar to that one, which pops when we install an application.
The basic and important difference between them is the Always ask before opening this file option. Following screenshot illustrate the situation:
You can change a Group Policy setting to fix this issue. Here is how…
Disable “Open File – Security Warning” Prompt In Windows Vista, 7
1. Press + R combination and put gpedit.msc in the Run dialog box, hit Enter key.
2. Navigate here :
User Configuration -> Administrative Templates -> Windows Components -> Attachment Manager
3. In the right pane, look for Inclusion list for moderate risk file types. Double click on it. A new window for Inclusion list for moderate risk file types will appear.
4. Now click on Enabled to enable the settings. In Specify moderate risk extensions type .lnk;.msc. Click on Apply followed by OK. Reboot to get fixed.