After CCleaner deleted temporary internet files - and a lot of other stuff too - I noticed missing icons for .url entries in my start menu. (I use Firefox 2.x and IE7, with Firefox as my default browser.)
Is there a connection?
This discussion suggests some connection between temp files and these icons:
http://www.virtualplastic.net/html/icn_file.html#urlicon
This may also be relevant:
http://neosmart.net/forums/showthread.php?t=212