Not a valid win32 application

My daughter has a Dimension 2400 with xp home about 3 yrs old. Whenever someone creates a shortcut on the desktop and right clicks to open that application, the error comes up C:/documents and settings/owner/my documents/my music  is not a valid win32 application. It seems that creating a shortcut on anything in the left pane of the tree, in folders view, by creating in the context dropdown menu and selecting 'send to'> desktop(create shortcut) doesn't work. My Computer and My Documents shortcuts works fine, but the others don't. I'm not having much luck on Google and Dell search is even worse. I guess I don't know how to phrase the search terms.

 

Jay