Downloads are showing up with internet explorer icon on?

earlier I went to play my sims 3 game and a notification came up telling me stuff had been removed so I decided to check my mods folder and they all had the internet explorer icon on them, when usually its a blank page. I clicked on it and it's only letting me save or open it. I searched online and found a solution. It said to delete LNK. so I did but the problem still hasnt been solved. does anyone know whats causing this and how I can stop it?