What's happening is that you are changing the association of .lnk files (all shortcuts) to use whatever program you are setting in Default Programs.
.lnk files are not documents, but instead shortcuts to open the targeted .exe file of a program to run the program. If you change the default associations like this, it messes up all shortcuts.
To fix this, download and merge the lnk
(LNK) option in the tutorial below again to restore it's default association. Default File Type Associations - Restore
Hope this helps.