BleepingComputer.com: Error “this Internet Shortcut Cannot Be Opened Because Failed To Run”

WIN 98 SE
1) START – RUN – REGEDIT (or MSCONFIG) – the 2 cannot open.
But if I browse to where the 2 items actually are, I CAN OPEN the Registry:& MsConfig
RUN – C:\WINDOWS\REGEDIT.EXE or C:\WINDOWS\SYSTEM\MSCONFIG.EXE
2) CONTROL PANEL ICONS cannot open
But if I take any CONTROL PANEL ICON and put a SHORTCUT of it on the
DESKTOP, then rightclick it and click “OPEN WITH CONTROL PANEL”, it can open.
3) SYSTEM TRAY items, like VOLUME CONTROL, PRINTER ICON cannot open.

Run these online virus scanners:
http://www.pandasoftware.com/activescan/
http://housecall.trendmicro.com/

Also this online Trojan scanner:
TrojanScan

Are you using these basic security programs (all free)?
a² free - a complementary product to antivirus software which is specialized in protection against harmful software. Antivirus software often features an inadequate protection against Trojans, Dialers and Spyware. a² fills this gap.
ewido security suite - offers protection against urgently growing threats like Trojans, Worms, Dialers, Hijackers, Spyware and Keyloggers.
Ad-Aware - A good program similar to SpyBot S & D.

These 2, will help prevent spyware/malware from being installed in the first place:
Spywareblaster - A good program that prevents spyware from being installed on your computer in the first place. This program is always running in the background, protecting your computer. It prevents the installation of bad active X controls found in web pages.
SpywareGuard - A nice compliment to SpywareBlaster. This allows you the option to prevent downloads that contain bad active X controls.

These programs, updated and used regularly, will do a lot to keep your computer clean of spyware, trojans, keyloggers, browser hijackers, etc...

Download them, update them, and then run them.

Important:
Please read this tutorial on Spybot S&D before using it. Spybot can do SERIOUS damage, if not used properly.

When installing ewido security suite, under Additional Options uncheck:
Install background guard
Install scan via context menu

More useful Tutorials:
Using Ad-Aware SE
Using SpywareBlaster
Using SpywareGuard
Using Ewido

If the above doesn't help rid you of the problem, then:

Read How to post a HijackThis Log.
Please read, and follow, all directions carefully.

Then, run a log, and post it in the HijackThis forum, at this link. Do not, fix anything, yet.
A member, of the HJT Team, will help you out.
It may take a while to get a response, because the HJT Team are very busy. Please, be patient, these people are volunteers. They will help you out, as soon as possible.

NOTE:
Once you have made the post, please, DO NOT make another post in the HJT forum, until it has been responded to by a member of the HJT Team. The first thing they look for, when looking for logs to reply to, is 0 replies. If you make another post, there will be 1 reply. The team member, glancing over the replies, might assume someone is already helping you out, and will not respond. So, just make your post, and let it sit there, until a team member responds. This way you will be taken care of, in the most timely manner.