The problem is solely with Live Messenger shortcut. When I click the shortcut using the usual way (by first clicking the start button, then so on) it works normally. The shortcut is functional.
My laptop is intended to use at work, so i collected all the programs that are not related to my job under a folder named "Out of business"
That folder is what you noticed
Same problem also exists on my desktop at home. And again only with Live Messenger shortcut.
There are many program links under that folder (Out of business) and none of them gives a similar error.