Problem with shortcuts and links is, the working directory of the app is not set automaticly, so you may have to add a line like
Changedir systemproperty("appdir")
Changedir systemproperty("appdir")
I thought Blitz had been updated to do this automatically now?
Also, check out :
http://www.jrsoftware.org/isfaq.php#workingdir
For the Inno fix. I tend to do it both in Blitz and Inno so that it still works if I forget one or the other.