Fixing this is simple enough, courtesy of a Registry fix provided by Doug Knox in the XP Fixes part of his website http://www.dougknox.com - look for the LNK fix and download that then click on it to modify the Registry back to normal.
Finding out what caused it, however, another matter. Fix the Registry as above first then start by downloading MalwareBytes from http://www.malwarebytes.org.
Install and update it then restart XP into Safe Mode with Networking by tapping Function 8 as Windows starts to load. Make one final check for MBAM updates then run the Full Scan and when it ends, click on Show Results then on Remove Selected - that will get rid of all of them.
Restart back into Normal Mode by doing nothing but switching on, bring up MBAM and click the Logs tab then copy and paste the scan log back here.