Welcome to Circle Dock and DonationCoder.com
What exactly are you attempting to link to???
Now granted I have My Circle Dock loaded to and alternative file in C HDD (C:/Alternative Program Files)
But as you can see I can make a direct link to an external HDD Registration exe file
I get the image Icon and everything automatically as I should
I will do some testing today in a portable mode Flash drive and see if I can simulate your issue, and I will try it from a different partition as well.
But under my current configuration...I can not duplicate the issue
let me see if I can do that