You should also run a full scan. A full scan might find other hidden malware.
This threat exploits a vulnerability discussed in Microsoft Security Bulletin MS10-046. Make sure that you install the updates available from Microsoft so that your software is no longer affected by the vulnerability.
If you look at a folder that contains the malicious shortcut using an application that displays shortcut icons, like Windows Explorer, the malware runs instead.
Successful exploitation results in the malware running with the privileges of the logged-on user; for example, if you're running with administrator privileges, the malware also runs with administrator privileges.