This is NOT normal Windows behavior and in my case was caused by an Explorer shell extension added by Sony's Securom: C:\Windows\SysWOW64\CmdLineExt_x64.dll (Vista 64-bit).
This shell extension causes Explorer to lag or freeze ("Windows Explorer is not responding") when right-clicking "broken" shortcuts pointing to missing .exe files. I didn't have an issue with other file types.
I was able to fix this using Nirsoft ShellExView by disabling this extension (F7 in ShellExView). I found instructions for solving this issue at http://shellfix.nirsoft.net/fix_shel...ineext_x64.dll
This is one of many issues caused by invasive Securom copy protection malware. Some other Securom shell extensions that may be causing issues are listed here: http://shellfix.nirsoft.net/shell_problems_list.html?o=5
. Look for the "CmdLineExt" entries from "Sony DADC".
Keep in mind if you install another game with Securom, this extension will probably become re-enabled and the problem will return.