Yes.. but unlike exe files they don't have any icons ASSOCIATED with those shortcuts.. so they just use a generic icon... that's why they all look the same.
What do you WANT to do? Do you use those links? If they are all in your documents folder you can easily Click Start and click on Documnets and get to them without all the shortcuts.
Here is a cool trick that is realated that I only discovered yesterday...
Right click on the taskbar and select toolbars... then New Toolbar... you can then go to any folder on your system and make a shortcut to it .. say for example Music.... then your taskbar will have a shortcut to Music >>
When you click >> you get a list of all your music in that folder and can select any song you want to hear. Pretty cool.