|What happens when you go direct to the program's file (not using the shortcut)? If it won't open then the problems is with the program not the shortcut.|
As regards the shortcut:
1. If you can't see the tick box referred to in post #1 above, use the Browse button to find the program exe itself (rather than just selecting the program from the first list). The tick box should then show.
2. You could try remaking the shortcut.
For any more help you need to tell us what program the shortcut is supposed to open (assuming it's not a secret).
IMPORTANT - Please come back and let us know the outcome.