Let me first break this down into the separate parts of the test case so all will get a clear picture of how to create this weirdness.
First, though, I wish to add another link to a discussion at Microsoft Answers about this same oddity.
vista-windows photo gallery won't open .jpg on desktop but will in - Microsoft Community
Timestamps are of note, because it indicates the oddity has been around for a few years. The thread for which I posted the link in the OP is dated mid 2008 and the Microsoft Answers thread is dated late 2009.
I think the best thing for anyone to do is follow these few steps.
Create a folder, maybe label it, Test_Folder
Inside that create a folder, maybe titled, Trouble_Shortcut_Folder.
Stick one normal .jpg image and one normal .bmp image into Test_Folder.
The shortcut for this exercise is one I saved on September 15th, 2012 without realizing it had such a long URL/URI —— 459 characters, of which the URL encoding for the query string is 301 characters.
http
[://www.
]dailymail.co.uk/news/article-2202979/Benghazi-attack-U-S-consulate-pictured-Libyan-attack-revealed-officials-knew-attack-plans-48-HOURS-before.html?openGraphAuthor=%2Fhome%2Fsearch.html%3Fs%3D%26authornamef%3DBeth%2BStebner&videoPlayerURL=http%3A%2F%2Fc.brightcove.com%2Fservices%2Fviewer%2Ffederated_f9%3FisVid%3D1%26isUI%3D1%26publisherID%3D1418450360%26playerID%3D72484359001%26domain%3Dembed%26videoId%3D&hasBCVideo=true&BCVideoID=1839768440001
That is a valid shortcut, but I don't want a hyperlink of such length on this website because I don't want to take any chances of causing problems here.
The brackets in red should keep that from becoming a hyperlink. And if you do a character count yourself, remember the two brackets I added makes that total 461. I'm trying to be as specific as possible, for some who want it that way.
So we put that shortcut with that super long URL into the folder titled "Test_Folder" with those two images and we then double click on either of those two images and Windows Photo Gallery will do zip, zero, nothing. Kind of like my cat after paw licking after dinner —— lifeless.
Now we put that shortcut into the folder titled "Trouble_Shortcut_Folder" and go back to "Test_folder" and try our double click on those images and there is no problem.
So we know that the super long URL in that shortcut is blocking Windows Photo Gallery in some way. We know how to unblock that, by removing the shortcut from that folder. That part of the situation we understand. No problem.
So what I am asking about here, for anyone who may also have a curiosity like I have, is why those shortcuts with those long URLs are blocking Windows Photo Gallery from working.
As for the request for a zip file transfer: it isn't necessary, because one can remove the query string and use the "normal" URL to get to the Daily Mail page with that article and then make a shortcut from that and then pull up the properties file of the new shortcut, "Web Document" tab, remove the normal URL and insert that weird long URL —— pull it from a paste in Notepad (my brackets removed) —— and "Apply" and then you have the original shortcut I have from 2012 and I would suggest to be very careful to keep track of where that weird shortcut is, like in the test folder we created.