It means that it cannot find the web page that it's supposed to find when you double click in it. Right click on the icon and select properties from the drop down menu and you should find the URL of that page and and maybe see why it's wrong.

Bob, thanks for the quick response. By right clicking on the icon, I did find the URL of the page I wanted, but I couldn't tell why it wouldn't open the page.
Steve

You might try copying the URL and pasting it in your browser location bar. If it doesn't connect when you hit the enter key try deleting the part after the last / and press the enter key again. If it connects then you can try to find what your're lookn
ing for there. If you do find it you can copy and paste it in the properties section of your shortcut. The shortcut would then work.

Bob, it appears that the copy and paste method will work best for me.
Thanks again for your help.
Steve