We need alot more information. Check where the shortcut goes. I think it's File > Properties.
Does the program exist at all? Check the File Manager.
You could be out of RAM and it is just too big to run. Most Windows 3.1 programs require other files to run, are they all there?
Is it an old version of the program or a newer one (for Windows 2.03 or 9x)
Is it a stand alone .exe, or does it require another program running in the background?
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