|We're sorry for your loss.|
You didn't supply a filename or the extension used or the properties, so I'm just taking a shot here...
If the hospital supplied you with a list of shortcuts or even a single shortcut to a file, then you didn't get the files that contain the pictures. All that you received was a "pointer" to the file and unless your computer can find the file, nothing will open.
You have to either obtain the actual files themselves or be given access to the files wherever they happen to reside - assuming you have a path to those files.