ZENworks for Desktops 3.x cannot launch shortcuts directly either with or without the *.lnk file extention.
The 'Path to executable file:' in the Application Object hence becomes:
C:\Program Files\your app\SelfHeal.exe
"%USERPROFILE%\Start Menu\your app\shortcut name.lnk" (include the quotes)
Launching an advertised MSI shortcut in this way invokes MSI Self-healing (hence the name)
This app was written in VB.net and hence the MS .NET Framework must be installed (i.e. latest OS Service Packs in most cases).
Note: .net security prevents this from running from anything other than a local drive.
It's really a simple app! Here's the code: