You really got to think about what's wrong here, Rocky. It's not a functionality issue. The icon is not a product of the underlying program, you could actually go into the properties of the icon and make it point to Microsoft Technet and spawn a browser, it's not like the icon knows the difference.
You know, a thought here would be create a new icon and have it point to the same location in your system (which is all an icon really does). If pointing it at the target makes it go transparent... then yeah, I'd say it might be a bug. More likely though, it's a just a desktop setting going wonky.