If you mean Adobe Reader, then either the shortcut has lost the information on what file it is associated with or Adobe Reader is no longer on the computer. If you recently transferred to a new computer using the Windows Transfer Wizard, the shortcut may be pointing to a different version folder or to a not yet installed program. Remember the Transfer Wizard does not install the programs and doesn't transfer the registry information about installed software from the old computer.
First, right click on the icon and then click on Properties. That will give you the location and name of the program it is associated with (as it was created). For example: on my Win7 32-bit machine this reads "C:\Program Files\Adobe\Reader 9.0\Reader\AcroRd32.exe". Next open the Control Panel Programs list, see if Adobe Reader is listed. (For Win7, this is Start > Control Panel > Programs. WinXP, look for the Add and remove programs section.) Open Computer (My computer) and navigate to C:\Program Files. See if you have an Adobe Folder and then the reader folder location. (If the folder exists, check for the exe file and if that full folder name matches the one for the shortcut.)
If Adobe Reader isn't installed, go to http://www.adobe.com
and follow the link on the right hand side to download and install Adobe Reader. Then remove the bad shortcut since a new one will be added to the desktop.
If you have Adobe Reader installed but the shortcut isn't pointing to the correct location, you can create a new shortcut by right clicking on the exe and choosing create a shortcut. Before you do this, double click on the reader.exe and check that it does launch. Otherwise, uninstall and reinstall the program.
I hope this helps.