I didn't get it fixed so it can use mixed file types, but I did figure out a work around. Instead of using .lnk files, I made bat files that did a cd to the directory then launched the exe. Among other pinball, I'm using Microsoft Pinball and the wrapper (I forget who wrote it) that allows you to launch individual tables. Anyway, they use bat files, so all my pinball games are now referenced with .bat files. In Mala, you have the option to launch "hidden". This hides the black dos screen when the .bat file is launching.
Not a fix, but a work around.