shorcut in desktop doesn,t link

i,m using win xp pro currently, i found that all the shorcut that i had created in desktop is not valid.For instance, i right click on internet explorer(the one in program menu)then i choose create a shorcut in desktop, the icon appear in desktop, but when i click on it, it said that the shorcut is not valid. Even i had install a new software and it automatically crate a shorcut icon in desktop, when i cilck on it, it show shorcut invalid as well.( i have to access it throug program menu) i had tried the online virus scan, no virus detected. Please advise