Peculiar File Access Problem

After installing the MSDN library, I added a desktop shortcut which (tries

to) start MSDN by using the hh.exe file to open the msdn.col file. The col

file extension is associated with hh.exe.

But, when I run the shortcut, I get the following message (title:

C:\Windows\hh.exe):

'Windows cannot access the specified device, path, or file. You may not have

the appropriate permissions to access them.'

However, I am logged on as administrator!

Also, I can start MSDN by opening the target file (MSDN.col) if I right

click on it and choose hh.exe from the Open With menu.

Any ideas why it won't open from the shortcut but will from OpenWith.

tia

Marc