http://img530.imageshack.us/img530/1...tdeletesy4.jpg
There's no option to delete.
If you know of a website that I can post movies (not like youtube, I don't want everyone seeing my desktop there) I may post a movie of me trying to drag the shortcut to the recycle bin or desktop. When I try to take them to the bin, the mouse pointer becomes that "forbidden" symbol. When I take them to the desktop, they just make a new shortcut...