Hello EarlZ,
You can try this method;
1. Start Regedit, click Start, Run and type in regedit and hit enter.
2. Go to: HKEY_USERS \ .Default \ Software \ Microsoft \ Windows \ CurrentVersion \ Explorer
3. Add binary value to Explorer: link="00,00,00,00"
4. You should now be able to make Shortcuts to the desktop without "Shortcut To" text.
This is a Registry Edit, so do so at your own risk and back it up before hand.
Hope this helps
Don