Solved it at last
File Association for .url had become corrupted (sometimes the hardest problems are the easiest - or should be)
Quote:
This will make it so that the selected file type(s) always open from its current location:
Double-click My Computer.
On the View menu, click [Folder]Options.
On the File Types tab, click the appropriate file type in the Registered File Types box. For example, for EXE look for "Application", for ZIP look for "WinZip file".
Click Edit.
Click (if necessary) the Confirm Open After Download check box to CLEAR it.
Click OK, and then click OK again.