Lost Icons Links

Running Windows XP home edition with SP2. Currently 90% of my desktop icons have missing links, or something close to that. A friend suggested TweakUI but there was a possible corruption and it didn’t download. When I double-click an Icon I get [windows cannot open this file: (File.lnk)] and then asks if I’d like it to find the file or to look through a list. Is there a fix for this?