It almost seems superfluous to suggest user interface improvements for XP, given how it's been replaced by Vista... No, wait. It hasn't. Never mind.
Problem: When you click on a desktop shortcut and the destination file has been moved, you get a message politely telling you that Windows has no idea what you're talking about, and would you like to delete the shortcut?
Now why the hell would I want to do that, if I've just asked to open that file or program?
What would be really useful (big ask for Microsoft, I know), is if the warning dialogue box included the path of the file, to give you some idea of where you (or, in this case, my network administrator) may have moved the fucker to, so that I can find it and restore a working shortcut.