The links are to video, audio, or picture files. It's not uncommon with some antivirus suites and when malware is on the machine.
But given only this much story to work with all I can do is confirm that this happens on every version of Windows since about 3.0.
Bob
Last month I purchased a Lenovo ThinkPad T410 laptop to replace my Dell desktop. I also purchased a Kensington Universal Docking station to connect my keyboard and mouse. This way I?d have the touch and feel of a desktop, and can easily unplug and take the laptop on the road without having to copy and move the files I need to the ?road machine?.
While working using the docking station, I often copy a file to place it or a shortcut to the desktop. Half the time, I get a message ?Windows Explorer has stopped working?, then a few moments later I get a message ? Do you want to send more information about the problem?? , and then I get ?Windows Explorer is restarting? . After it restarts I have no problem pasting the file or shortcut to the desktop. Any hints as to what?s going on?

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