SHP file links show that certain files are referenced within the property set value stored on the currently selected object.
To access currently referenced file links for the selected object or to save a new link, file links must be enabled.
SHP Import/Export Utilities
Enhanced Tooltips. Double-click Show Linked Files.
SHP Import/Export Utilities
Enhanced Tooltips. Double-click Hide Linked Files.

The file link icon also provides access to the SHP File Links dialog box, where you can create new file links.
If there is no currently referenced file link when you press Ctrl+Click, the SHP File Links dialog box opens. You can add a file path name to create a new file link and save it for that object. You can save the link using a full path name, a relative path name, or a file name.