File Extension Restore Help

I really need help. I was trying to open a .lnk file and when I when to open it I clicked open in PDF file format. All my icons on my desktop turned into PDF files and I couldn't even open Firefox or Yahoo communicator because it was in the wrong format. I tried to follow some help and download and merge the .reg fix. I have tried different things and restarted my PC many times. All the icons look like the .reg building blocks now and I can not restore the icons like before. I am not very tech savy so any help will be great and in the simplest language you can.

Thank you Shawn. This is what I tried first before posting on here and that is how they went from PDF icons to .reg icons. Not sure what I'm doing exactly. Example: The Firefox icon, when I right click and go to properties it shows it is a .exe file so I click on the exe download and merge and nothing, I shut down and restart and still the same. What am I doing wrong? Do I do each icon separate? Where do I look to make sure I am opening them with the correct repair?