After a Chrome update Chrome will not open url files as a shortcut to a website but instead now opens them as a file and displays their contents
Click on start and search for Default apps, then click Default Apps or click here to open the window.
Scroll down to the bottom of the screen and click Chose default applications by file type
Scroll down and find .URL, click on the icon to the right and change to Internet Browser.
The shortcuts should now work.