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Here's a handy tip for opening a shortcut with a specific program automatically. For instance, I have a shortcut to my HOSTS file on my desktop. I always want to open it with notepad, but since HOSTS has no file extension Windows won't remember a preferred program for it. So, whenever I need to edit it I double-click it, scroll through my programs to notepad, and then click open. Now, maybe it's just me, but this makes me NUTS!!!

Here's how to fix it so it always just opens with notepad:
1. Right click the shortcut
2. Choose properties
3. The "Target" field has the path to the shortcut (in this case the HOSTS file)
    C:\WINDOWS\system32\drivers\etc\hosts
4. Change the "Target" field to this:
    notepad.exe "C:\WINDOWS\system32\drivers\etc\hosts"
5. Click OK
6. Try it out, voila! HOSTS opens with Notepad.

Executables 

Shortcuts to executables support any parameters the executable supports. For instance, let's say you want to have Query Analyzer open to a database other than "master". Call me crazy, but I really don't muck around in "master" very often. 

You can change the "Target" field of a shortcut to Query Analyzer to something like this:
"C:\Program Files\Microsoft SQL Server\80\Tools\Binn\isqlw.exe"  -S yourServerName -d yourFavDatabase -E

Go to the command line and run the executable with the help switch for the full list of options:
isqlw.exe -?

How cool is that? Pretty cool!