Move or copy the other shortcuts and any other files or
folders to another folder, then click "Start", "Run", type
the following into the "Open" box, click "OK" and confirm
the deletion or deletions.  If the problem file disappears,
restore the original shortcuts.

deltree  c:\windows\sendto\*.*

Ben

it is a Fat error & sometimes difficult to repair!

1st try:
boot to Safe mode & run Scandisk w/ option fix errors & than defrag

if doesn´t help, 2nd try:
make somewhere with notepad blank document & a shortcut to it; rename
manually the shortcut exactly as that non eraseable one. Than copy
that new one to the same place that the bad one is with option to
overwrite it. Than repeat the 1st try ...

hope this will resolve your problem ... (if not there are other, but
not so simple options! ... I had also this kind of problem few times
in last 8 years) ...

Ben, Spajky, Mikhail, thanks. It's done. Don't know
exactly how, most probably Ben's suggestion did it.