Per Fuzzy Logic, "The target on the shortcut is "C:\Program Files (x86)\Stardock\CursorFX\CursorFX Control Panel.exe" and the 'Start In' is "C:\Program Files (x86)\Stardock\CursorFX". I put this shortcut in the Stardock folder of my start menu."
To do as Fuzzy Logic suggests, use the path above that he posted. When you see "CursorFX Control Panel" in the CursorFX folder, right click on it and then select Create Shortcut. Then right click on the shortcut you created and click Pin to Start Menu. Then see if the new shortcut works.
One other possibility you might try is simply right clicking on the shortcut you have and select Run As Administrator. Hope one of these suggestions works.