As everyone, you might sometime need to get rid of the odd useless alias on your OSX desktop. So you drag it in the bin and next time you empty the bin you're done with it. End of the story. It's quite another one with Vista. Go and have a look at the seven screen captures on Hardocp. They illustrate the seven steps required to delete a shortcut. It looks like the guys in Microsoft have been so anxious about security that the basic settings of the system are to refuse to run the user's requests!
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