Cannot remove web shortcut from desktop.

I have a web shortcut on my desktop which I cannot delete from within Windows. If I try to delete or rename the shortcut I get a message telling me that the filename is too long. I had this problem once previously and successfully deleted from the command prompt. I’m just curious to know if anyone else has experienced this and if anyone knows why this happens and if there is a way to delete from within windows. The PC in question is W2K.