Your subject title does not indicate your problem.
The icons for a shortcut to a file by default always have a small box at bottom left with a bent arrow in it pointing up and to the right.
To find where the file is the shortcut is referring to......
If you select and RIGHT click on such an shortcut icon, by default it opens the Properties to the Shortcut tab page/window.
Where the file the shortcut refers to is, is stated on the Target line.
If the location text is too long to completely fit in the box, click on the line and use your left cursor key to see the rest of the line including the drive letter at the beginning of it.
If the drive letter is one for a CD or DVD drive, the file the shortcut refers to is on a CD or DVD, and not on your hard drive(s).
Otherwise, if double clicking on the shortcut icon does not go to the target, the file has been deleted or moved and the shortcut is no longer valid and the shortcut should be deleted.
If you want to find out where all .cda files are, use Search to find: *.cda
files - * being asterisk a.k.a. "star", the uppercase of 8, representing "wild card" = all files that have whatever is after *, on whatever whole drive or drives or folder you select to search within.
Whether or not you see files listed with visible .cda extensions depends on settings in Control Panel - Folder Options - View.
If they are still set to defaults, Windows does not show the extensions of many file types it, or programs that have been installed, recognizes natively.
Search will find the *.cda files despite that.
If you see no .cda extensions and want to change that, you need to go to Control Panel - Folder Options - View and click on the box beside Hide extensions for known file types to remove the checkmark.
You can also click on the circle beside Show Hidden flies and folders to place a dot there, and click on the box beside Hide protected operating system files to remove the checkmark if you like, but that is not recommended if you are an amatuer - deleting or altering those files can get you in trouble. Hidden files or folders are then shown with somewhat greyed out (faded) labels and icons.