What sort of file is it? Whats the file extension.
I have tried both the newer Filename.URL extension as well as the older Filename.lnk extension, both pointing to websites. With the exception of my Outlook client blocking access to the URL file (security feature), both files made it to my inbox without issue. The one I could actually test, the .lnk file, launched IE just fine.
Could you maybe send a few screenshots? One showing the e-mail you receive with an unusable attachment, another showing the properties of the shortcut file in the folder, and maybe another showing your attachment settings in VisualCron?
Brian