On top of what George said, if Script is not an option (some it departments disallow it on user pc's), then:

DECLARE INTEGER ShellExecute in shell32.dll ;
   INTEGER hwnd, STRING @lpOperation, STRING @lpFile, STRING @lpParam, ;
           STRING @lpDir, INTEGER nShowCmd

lnRetVal = ShellExecute(0, 'Open', 'MyShortcut.lnk', .NULL., .NULL., 5)

>I need to run an .exe with the run commande.
>The problem is that this EXE need a parameter like this:
>
>Select Myfld1,MyFld2 from data1 into data2 where myfld1 in (select myfld1 from data3)
>
>I cannot use the run commande with the parameter so I am calling a .Bat.
>
>But running a shurtcut is better.
>
>How do I run a shortcut from VFP?