|The shortcuts might have been corrupted. I suggest deleting them and creating new ones.|
For Notepad you can go to c:\windows\notepad.exe, right click, drag to the desk top, release and select create shortcut. You can then move it anywhere you like.
You can do the same thing with WMP. It's located at c:\Program Files\Windows Media Player\WMPlayer.exe.
FWIW to XP users: When you click on the 'Command Prompt' you are just causing the 'Command prompt' to be displayed. This prompt gives you access to NTVDM.EXE, the 'NT Virtual DOS Manager'.