|You can't open shortcuts, they open the file or program that's associated with that shortcut. Look at each shortcut's properties (right-click > properties.|
where it says "Target" that's the location of the associated file.
What may have happened is that you may have copied the photos from one place to another using the mouse (drag-and-drop), but instead of copying the actual photo files you may have only created shortcuts instead. Those shortcuts will now be "broken" if the files associated with them have since been moved or deleted, or existed on a drive which you no longer have.