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jecilop - is the drive formatted as NTFS, and how do you move the files i.e. is 3rd party s/w involved - FastCopy, TerraCopy etc, if latter try moving with vanilla Windows.
IIRC the reason it doesn't ask "do you want windows to find the file" is that finding the file is a lot faster since Win7 (maybe Vista) whereas on XP it would whirr away for a while.
Ah-ha - see first sentence; last paragraph in here ==>>
Distributed Link Tracking and Object Identifiers
I'm not a 100% sure, but I don't think DLT has ever worked if .LNK target folder/file was on a portable device.
BR