shortcut files can't be directly associated with k-meleon, since they're just a windoze convention, AFAIK... the association for them should be something like:
rundll32.exe shdocvw.dll,OpenURL %l
which allows your system to look at it, and figure out that it's an HTTP, FTP, FILE, or whatever protocol URL, and launch the appropriate application associated with that specific protocol... does that make sense?