Hello Ivan,

I am unable to reproduce this issue, and am unsure where the *.url file it wants to download came from in the first place. Nevertheless, even after manually creating a *.url file, I was able to open directly in the browser by double-clicking. If you check in the Control Panel, do you have "Internet Browser" selected as the default program to open *.url files? If so, perhaps there is a browser configuration which is causing this behavior.

To get a working shortcut, you should be able to locate the program in the Start Menu, then right-click and choose Send To... > Desktop (create shortcut). This will create a standard *.lnk shortcut link that should work as expected.

Hope this helps!