Try right clicking the icon and select properties.
Check the "Target" area. It should contain the file's directory.
The address should be COMPLETE for example "C:\Program Files\AVG\AVG2015\avgui.exe".
The directory "C:\" depends on which hard drive your file is and the file format like in this case is a program should have ".exe" at the back. If any of these is missing your short cut will not work.
You should also check on the compatability of the file / program with your OS.
Try double clicking the icon
Terry
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