A 'Shortcut' is, well, a shortcut. It is a small file that allows you to click on an Icon to start a Program, such as Windows Media Player. If you add an Icon to the Desktop, there is a small file that tells the computer to translate a click on that Icon
to mean to run the Executable File (file with a .exe extension) that starts WMP. It is not the file that starts the program, it is the file that starts the file that starts the program. Another "behind the scenes" thing we don't really use or need to know
about.
How to find your version of Windows Media Player: This works to find the version of any program you have. I do not what your View settings are in WMP, but you should have File, View, Play, Tools and Help across the top left of the screen. Click on Help.

At the bottom of the Pop-Up window, click on About Windows Media Player.

The window above shows that this WMP is Version 12.
Now - pop quiz - just so that we can be on the same page: What is the difference between a File and a Folder?