A shortcut appears when I open file in Everything

[therube]

Did you recently change to VLC media player?
Did you have .lnk as a generally excluded file before?

It would not be Everything causing the link to appear.

Browse to a .mp4 file in Windows Explorer.
Double-click the file.
It opens in VLC?
Verify that a .lnk was in fact created - outside of Everything.

[void]

To exclude lnk files from your Everything index:

• In Everything, from the Tools menu, click Options.
• Click the Exclude tab on the left.
• Change Exclude files to:
  *.lnk
• Click OK.

-or-

To disable recent documents:

• From the Start menu, type: control
  Click Control Panel
• Once the control panel opens, click on Appearance and Personalization.
• Click on Taskbar and Navigation.
• Click on Start.
• Uncheck Show recently opened items in Jump Lists on the Start or the Taskbar.