If your shortcut is called yahoo then type yahoo.url as url are not exe files the whole name needs to be specified. If you tell the below registry thing that it's an exe file (you just lie). To have ie.txt open just by typing ie you tell it it's ie.exe as the key rather than (or in addition to) ie.txt. That because windows add .exe to extensionless things that are typed.
Help Windows Find Programs and Documents
Programs and documents can be added to the registry so typing their name without their path in the Start - Run dialog box or shortcut enables Windows to find them.
This is a generic reg file. Copy the lines below to a new Text Document and save it as anyname.reg. Edit it with your programs or documents.
In paths use \\ to seperate folder names in key paths as regedit uses a single \ to seperate it's key names. All reg files start with REGEDIT4. A semicolon turns a line into a comment. The @ symbol means to assign the value to the key rather than a named value.
The file doesn't have to exist. This can be used to set Word.exe to open Winword.exe.
This sample add IE.Txt (from IE5) to the registry so typing IE.Txt will open it. I think the file is called IE4.txt in IE4.
REGEDIT4
;The bolded name below is the name of the document or program, <filename>.<file extension>
[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\App Paths\IE.txt]
;The @ means the path to the file is assigned to the default value for the key.
;The whole path in enclosed in a quotation mark ".
@="\"C:\\Program Files\\Internet Explorer\\IE.txt\""
;Optional Parameters. The semicolon means don't process the line. Remove it if you want to put it in the registry
;Informs the shell that the program accepts URLs.
;"useURL"="1"
;Sets the path that a program will use as its' default directory. This is commented out.
;"Path"="C:\\Program Files\\Microsoft Office\\Office\\"
