If you right click on the shortcut and then click on properties and view the Target you will see where the file is located (the directory path and file name).
Then open the directory to access the file and backup the file if required.
It doesn't sound like you have deleted the files. It appears that in the process of copying files you have created shortcuts instead of actually copying the files to a different location.
Click on the shortcut or right click on the shortcut and select properties to identify the source location of the file. You can then navigate to that folder to view the original files.
If in fact you have deleted the files from the hard drive you can often recover files using a recovery program like recuva.
This is going to be hard to hear, but those are just shortcuts, not the files themselves. Which simply means that if the shortcut no longer has a valid file to point to, those files are not and never actually were on the drive. I see this alot where I work as people do not understand how to actually copy their files for backups. Clicking and dragging often produces this result. In most cases if the original files are gone, then there is no way to retrieve them.
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