If you find the SHORT NAME of the file (shortcuts can be files in some directory), you can boot to dos and and delete it there.
Example:
C:\> DEL \where\somedir\SHORT~1.LNK
It's up to you to find where and what DIR it's in, and no real DOS skills are required.
Bob
windows 98 se I have a short cut to a file that i cannot delete www.naturalessentials.com/hytrin.htm the message says the file name is invalid or too long it wont even go into the recycle bin regards jim daniel

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic