Add a Network Location

I've been trying to add network locations to my Computer. It's worked just
fine for the first three I added, but when I added the last one, it appeared
under my Computer with a file icon instead of a folder, and when I go into
it, it leads me to a folder with a shortcut called target pointing to where
it should go. I've deleted it and tried to add it again a few times, and each
time this keeps happening. And also whenever I create a shortcut to a network
location anywhere on my computer (like on desktop), the Location tab is
missing from the Properties dialog. I would like to be able to change the
icon for the shortcut.