In fact somes applications are just loader. They load another file and close.
When you run something with mGalaxy, it search in memory the same application it have run and wait for the app close to come back.
But if the aplication you run is a loader, it can't work, because mGalaxy need to monitor the final app not the loader.
In this case, 2 solutions, script or find the good executable
But In this situation, even if mGalaxy come back immediatly, the application still working on background. And in your case, nothing is working.
You can too make try with command line.
cmd.exe /C "f:/file.lnk"