Shortcut doesn't allow drag and drop

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This one is probably something obvious that I'm missing somewhere...

The setup package for our program is putting a shortcut onto the
desktop. That's good. But the shortcut won't allow the user to drag
and drop files onto it. Why not? If I create a shortcut manually then
it will accept the files.

How can I get the desktop shortcut created by the installer package to
behave like a "normal" shortcut and accept dropped files? (We just take
the file names on the command line)

.

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