It's actually an Explorer command file and not a shortcut at all. Download it to your desktop and copy it to the folder:
X:\Documents and Settings\(User Name)\Application Data\Microsoft\Internet Explorer\Quick Launch
(X being your XP root directory and (User Name) being the account name you're logged into. You can't just drag it to the quick launch bar or it will only make a shortcut to that file.
There's another one in your windows directory called Explorer, that one will open explorer to your System's root drive instead of expanding your "my documents" folder. Don't delete it now