Well, you're trying to access the shortcut somehow, someway. Was it part of your drive maps? You can remove it there by clicking on Tools/Disconnect Network drive.
At least, that's what it looks like. Or something is trying to access it, thinking it's there. You need to tell it it's not there anymore. Without knowing what's trying to access it, I can't really tell you how to delete it. Perhaps somone else knows. . .