Interesting behavior of SharePoint 2003 Document Libraries when uploading shortcut files

I was recently assigned to a new 11 week SharePoint 2003 project and I’m currently in my 3^rd week and today I learned something new about uploading shortcut files into a document library and I thought it was worth sharing.  Everyone might already know about this but this was my first experience with this functionality.

The client has a few third party PDF forms that are located on remote web servers that are currently being linked to in a simple HTML page and we won’t be able to add them into a document library for grouping with other internal forms.  So, I thought that we could create shortcut files (“.url” extensions) that link to the third party forms and then upload the shortcut files to the document library.   We created the shortcut files with URL reference and then uploaded them into the document library and to my surprise once the upload was complete the shortcut file was not uploaded but instead the actual third party PDF form was uploaded.  To my discovery once the shortcut file is selected the dialog box reads the link specified in the shortcut file instead of specifying the shortcut file path.

Has anyone else experienced  this and does anyone know if this has always been this way?