Group Policy Preferences Shortcut works for Administrator, gives error 0x80070002 for all others

I setup a Group Policy Preferences Shortcut applied at the domain level to Users.  It works fine for Administrator, but gives the following warning in the Application Event log for other users:

Log Name:      Application
Source:        Group Policy Shortcuts
Date:          11/6/2009 6:04:47 PM
Event ID:      4098
Task Category: (2)
Level:         Warning
Keywords:      Classic
User:          SYSTEM
Computer:      POS-02.alpine.local
Description:
The user 'EasyRent 10' preference item in the 'EasyRentShortcut {4B63DA42-8976-4AC5-BCDF-CA5AAAC1FEC0}' Group Policy object did not apply because it failed with error code '0x80070002 The system cannot find the file specified.' This error was suppressed.

Here is the GPO setiting:
----------------------------
User Configuration (Enabled)hide
Preferenceshide
Windows Settingshide
Shortcutshide
Shortcut (Path: %DesktopDir%\EasyRent 10)hide
EasyRent 10 (Order: 1)hide
Generalhide
Action Create
AttributesTarget type File system object
Shortcut path %DesktopDir%\EasyRent 10
Target path \\alpine-srv\dlc101b\bin\prowin32.exe
Arguments -pf RUN.pf -ininame pro32_10.ini -T %TMP%
Start in \\alpine-srv\EasyrentOE10\
Icon path \\alpine-srv\EasyrentOE10\Bilder\easyrent.ico
Icon index 0
Shortcut key None
Run Normal window

I have tried making a user a member of the administrators group and it still does not work.  I have another administrative account for which it does not work either.  

As a workaround I created a login script that copies the shortcut to the user's desktop.  The login script works just fine.  So much for trying to do things the "new way" without scripts...  Also I have other GPOs for Mapped Drives and Folder Redirect and they work fine and I don't see any difference except that the user would need rights to the shortcut which it seems they do have.