There appears to be a problem with the Vista Start Menu and advertised shortcuts (as used by Office 2007 among others). The symptom is that applications are not launched when you click on the shortcut from the recently used apps list on the Start Menu.

I’m not the only one to come across this as you can see from this thread:
http://social.technet.microsoft.com/Forums/en-US/itprovistadesktopui/thread/8286e2d2-0ea5-4923-951f-bf7b6b031d88/

The alleged solution is here:
http://windowsxp.mvps.org/slowrightclick.htm