You can't open a shortcut file, because a shortcut isn't really a file. It's just a pointer to the real file.
Think of it like this: you put your keys in your coat pocket, but you're worried that you will forget where you put them. So you put a note on the door that says "Your keys are in your coat pocket". The shortcut is just like the note; it's not what you'r looking for (your keys) but it tells you where they are.