I've mucked around with this for a few hours now, admittedly a little confused by the above instructions. This is how I managed to make things work using the game Mount&Blade but the steps will work for any game/program, just replace Mount&Blade with the appropriate names.
1. Open up the game folder (C:\Program Files\Mount&Blade)
2. Locate the game executable, right click and select 'create shortcut'. This should make an icon named 'mount&blade - Shortcut'
3. Open up CD and drag the newly created shortcut into the circle as you normally would.
4. Right click on the mount&blade icon in CD and select 'Item Settings'
5. Under 'Target' you should see this - C:\Program Files\Mount&Blade\mount&blade.exe Under 'Name' should read as this - mount&blade - Shortcut
[SOLUTION] Shortcut won't work
6. What you need to do is change "C:\Program Files\Mount&Blade\mount&blade.exe" so that it reads "C:\Program Files\Mount&Blade\mount&blade - Shortcut.lnk"
[SOLUTION] Shortcut won't work
7. Click your link in CD and it should run.
[SOLUTION] Shortcut won't work
All of the links that you see in the final picture work 100%
Thanks to Rigel for the solution, just hoping that my instructions will help out those who were getting a bit lost (like me
)