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nixsee - the default handler for url files is Windows itself, what it does with them is defined by the protocol e.g. http://, ftp://, file://… calibre:// etc
Can you post a screen shot of the Properties of the shortcut you created with the method I posted before, I would expect to see something like this:
When that shortcut is clicked Windows sends a message to calibre.exe telling it to: view the EPUB of book 697 in the Test (hex 54 65 73 74) library. If calibre isn't already running Windows will start it.
BR