Can no longer create desktop shortcut to Yahoo Mail


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I had a desktop shortcut, in Internet Explorer, to Yahoo Mail, created by right clicking the background within Yahoo Mail and selecting "Create Shortcut" from the options presented.

Earlier today I found that it no longer worked, getting instead the message "Windows cannot open this file:
To open this file, Windows needs to know what program created it. etc."

I deleted the shortcut and created another, but the system still coughs up the same message.

Why has this happened, and how can I create another shortcut which works properly?