try this: http://support.microsoft.com/kb/281679/en-us
also on this website:http://www.dougknox.com/xp/file_assoc.htm
see if the fixes for URL and LNK files fix it for you.
Are you sure the window isn't loosing focus? so the first click she actually has to make window active again and then the link goes thru?
You might have such issues with various background programs