why are desktop shortcuts in download folder?

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Windows Central Question

All shortcut icons on the desktop are located in the download folder. As a result when I double click an program Icon I always get "open file - Security Warning". I have to click OK to open the program.
 
All shortcut icons on the desktop are located in the download folder. As a result when I double click an program Icon I always get "open file - Security Warning". I have to click OK to open the program.

This sounds like a virus or malware -can you run a scan to see if anything is amiss?

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