why is there a greyed out ‘find target’ box?

Finding shortcuts that have been moved is easy; trying to locate a program when the ‘find target’ box has been greyed out is not so easy. Where is that program hiding?
A manual search revealed nothing. Could it be the program only exists on,(and was installed from)a CDRom, and therefore is not on the harddrive?

UN-RELATED Q: If I delete a program icon (not the shortcut to it)will I damage the installed program, or am I just deleting setup files?

thnx