You might encounter a situation where you may not be able to open any .exe files or shortcut link files, i.e., EXE or LNK files. You might instead get a “Open with” dialog box, or it may open the file ...
As per the feedback on closed feature request #17533, this is a bug report for an issue where drag-and-drop operations onto file shortcuts (.lnk files) are not working. The feature is confirmed to be ...