[belveder]

To remove the "Shortcut to..." text string instances from ALL your existing and ANY new Shortcuts you will create from now on, run Regedit and go to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer

In the right hand pane create a new Binary value called "Link": right-click on an empty spot -> select Binary [hex] Value -> name it "Link" (no quotes).
If "Link" is already present: double-click on it -> type as many zeroes as necessary until it reads:

00 00 00 00

Click OK. Don't type the spaces.
Now apply the same trick under this Registry key:

HKEY_USERS\.Default\Software\Microsoft\Windows\CurrentVersion\Explorer

to affect ALL users on your Windows 95/98/ME computer.
Restart Windows to make the changes take effect.