This is certainly a problem in the OS. My best guess is that you will need to re-install the OS because something is corrupted. If this is a store bought computer I would contact the OEM. If you built it you may be able to re-install the OS without disturbing the rest of your programs and data.
Can you give more detailed info. Such as, is this grayed out in MS Office products, or notepad or pasting a shortcut to the desktop, or Open Office.Org or ... you get the point. If it is application specific it requires one fix. If it is globally throughout window, it would require a different fix.