well, I'm at a loss. I have no idea what's going on.
try opening a totally blank DX theme...
1. Save the theme your using now
2. Use the object browser and delete everything
3. Right click on the DX systray icon and choose restart dx
4. go into the dx configuration menus and poke around in there...uncheck everything you don't need. Keep single click activation. Make it the absolute barest bones dx theme possible.
5. Do the restart dx thing again.
6. make a new object to be a URL shortcut.
If this doesn't help your problem, I have no idea what will.