under pop up menu new,select shortcut,the wizard window should appear on screen along with an extensionless file ,,new shortcut,, . now without closing the window rename ,,new shortcut,, into anything you like and add it the extension you like.that way,allthough not offered in new menu you can easilly create an,let s say a web page by addin extension .htm . this is more like a bug in windows xp and lower,fixed from windows vista and higher