Not sure Jochen but perhaps give one of these articles a try.

HOW TO: Disable the NTFS File System Tracking of Broken Shortcut Links
http://support.microsoft.com/?ID=299780

Shortcuts Created Under Windows NT 4.0 Resolve to UNC Paths
http://support.microsoft.com/?ID=158682

Disabling Automatic Network Shortcut Resolution
http://support.microsoft.com/?id=150215

Do your shortcuts attempt to resolve to another computer?
http://www.jsiinc.com/suba/tip0100/rh0177.htm