Windows 2003: scheduled tasks and shortcuts

This tripped me up today.  Spent ages trying to figure why a scheduled task kept failing to run (Could not start), yet it ran just fine on the command line in the same user account.

Looking in the log (Scheduled Tasks window click View Log on the Advanced menu) I see:

Unable to start task.
The specific error is:
0x80070005: Access is denied.

[Note the log cycles, overwriting from the start when the log is full, so the latest entry is not necessary the last entry in the file]  The entry in the log is not very helpful.  Much wasted time later I realise scheduled tasks cannot handle shortcuts.