>Using native VFP command (like RUN) or Windows scripting (like Wscript.Shell) it's possible to execute a program EXE. But someone knows if it's also possible to execute a program from VFP using a shortcut (.LNK) ?

You can do that with WSH Run method by passing full shortcut name including path and extension. The name should be enclosed in double quotes if it has spaces in it. For exanple,

lcShortcut = ["C:\Documents and Settings\sergey\Desktop\VFP9 help.lnk"]
oShell = CREATEOBJECT("WScript.Shell")
oShell.Run(lcShortcut)