I doubt that I can help you with this, but perhaps someone will come along who can. It will help them to know if you are using Windows XP or Windows Vista, and 32 bit or 64 bit.
Also if you want to start a ticket with official Stardock Support, that link is https://esupport.stardock.com/index.php?_m=tickets&_a=submit and include the address of this thread so you don't have to type it all again.
I would right-click on the desktop shortcut, highlight the "Target" field, and copy and paste it into a new regular Object Dock entry "Link" field. If the target includes quotes at the front and end, I would delete those from the Object Dock field. If that doesn't work, you might try right-clicking on the newly created Object Dock icon to see if there is an option in the popup menu that appears to "run elevated" or something similar.
after the normal link did not work. tried this:
Link: explorer.exe Arguments: C:\\....path...\alice.Ink (alice is my provider, i just named the link like this)
this time the file started workin, AFTER i was asked if i really want to open the file, as if i download it from the internet.
If the confirmation box had an option in it "Always ask before opening this file" you could uncheck that to get rid of the confirmation message. If it had an option "Always ask before opening this type of file" I would not disable it, safer that way.
I hope this is helpful but I fear it is not. There are still lots of other people on the forum who might help though...