On a great many "freeware" sites, "Windows 7 Compatible" translates to... "Does not set the computer on fire"... Really... any fool can claim that on the web. Doesn't make it so.
As for my problem, I discovered something very interesting. I right-clicked on the file and hit 'Open File Location'. It took me to Users/*username*/AppData/Roaming/Microsoft/Windows/Recent Items. Deleting it from there seemed to solve the problem. There are a number of other shortcuts here which are remnants of deleted files.
The question is, will these files automatically go after a set time? If not, is there any way of automatically getting rid of deleted files? And what exactly is this folder for?