It's probably a path issue. Stick with just .lnk
Also, the gamelist needs to be refreshed every time you make a change or Mala will be using the same path it did the last time.
If that wasn't done, it could have still been trying to do it via a wrong path or batch file even though you had made changes.
If you still can't get it working, post pics of your rompath, command line, rom file type.