well, here's what I would do:
1. right click on the shortcut and post in this thread what is the target path.
The target path should be something like "D:\" without the quotes where D is the letter of your cdrw drive. If you have something like "D:\MyFiles" it won't work because that shortcut is saying that there's a file or folder in the D drive called "MyFiles" and that won't be the case all the time. In other words if your shortcut is to an specific file such as "MyFiles" it won't work unless the cd has a folder called "MyFiles", but if the shortcut is to a drive such as "D:\" or whatever it is in your system, it should work fine.
I hope this helps,
pitupepito