Let's say you uninstall a program, but it leaves a shortcut behind on the Desktop or on the Start Menu. When you click on it, Windows throws you the dialog box in Figure 1, as a way of letting you know that the target no longer exists.
With the new taskbar in Windows 7 comes a revised way to handle shortcuts, apparently. If you click on an invalid shortcut when it's pinned to the taskbar, you get a completely different dialog that has essentially the same message as the one described above. See Figure 2.
Note that the dialog in Figure 1 seems to use XP-era design guidelines (See also: http://www.windows7taskforce.com/view/2294).
The dialog in Figure 2, which is brand-new to Windows 7, uses the new Vista-era design.
Make the dialog from Figure 2 the standard dialog whenever an invalid shortcut is encountered.