Hi,
As mentioned in order to diagnose this it would be helpful to understand how you created the shortcut, what version of Cognos you are using , what IE version and the particular IE error that you receive.
For instance did you for the given sample report, go to the more action and select "Create a shortcut to this entry"? Is it when you click on the set properties icon of this shortcut you have the issue.
I have tested it and can see no issues
Kind Regards
Rob