Can't put shortcuts under Express Menu folders

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I've just installed Express Menu, but when I try to create a shortcut under the main menu folder I get a popup message saying the following: "Windows can't create a shortcut here. Do you want the shortcut to be placed on the desktop instead?" This happens both for the main menu folder and also if I try to create a shortcut in a folder that is in the main folder. I'm running as an administrator and I've also tried starting Windows Explorer as an administrator but there is no difference. I always get this message.