There are some interesting facts how Windows itself manages shortcuts. I've simply explained my experience with shortcuts which differs from common experience presented on many forums, so don't ask me what happens "inside" the Windows and how all it works.
Suppose that you have file start.exe in folder '\Program' (subfolder from the root) on drive d: and you want to make shortcut so that works on any odher drive. Right click on the file start.exe and choose "create shortcut". Move that shortcut in the root, moreover you may rename it if you want (start.lnk for example). Notice the size of the file start.lnk. Now, double-click on start.lnk to run start.exe. Program will, naturally, start because the shortcut refers to absolute location (path) of the start.exe.
Now, rename folder "Program' in any another name, for example 'New'. Click on start.lnk. Amazingly, start.exe starts again. What happened? Look at start.lnk (right click, properties) - now, it points to new location od start.exe in folder 'New'. It means that Windows "intelligently" managed shortcut and found it in new location 'New' and changed path in the shortcut start.lnk. The size of the file start.lnk changed (naturally, because the location have changed also). But now, rename folder 'New' again in 'Program'. Click agan start.lnk, start.exe will run again, and the path in start.lnk is again changed in the original one. Look at the size of the file start.lnk. It's not the same as it initially was. And not only it's not the same size, now it allocates file start.exe "dynamically". If you move both the start.lnk and 'Program' folder in any other location on any other drive (don't forget to erase it from the original location to be sure that all this work), you will always run program by clicking start.lnk.
If you move the shortcut and program folder on another location before you start it via shortcut in original location, Windows will not be able to find it. Only if you start it via shortcut on initial location, and start it again after renaming folder, Windows will be able to find it and, in certain way, "dinamically" allocate program inside the shortcut and find it later regardless of the new location ond new drive.
What really happens, I don't know, but it will work not only in Windows XP, it will work in Windows 98 also (I didn't try it in older versions)