Bob said:
Keyboard shortcut links won't work if the Shortcut is not on the desktop.
It works also for shortcuts in the Start menu - All programs and
submenus. I keep my hot shortcuts in a special folder there.
One possible cause of their losing the hotkey response is using the
touted 'Delete IsShortcut' in registry as a means of removing shortcut
arrows. Get TweakUI for XP and use it as a means of changing those;
IIRC its very installation will put IsShortCut back (the author feels
strongly on the point)