A non-advertised shortcut (Standard Shortcuts) is a standard windows shortcut. If you right-click it you will see the target field points to the executable that will be launched. If, for whatever reason, this executable is missing the application will simply fail.
An advertised shortcut (Windows Installer Shortcuts) is a technology specific to Windows Installer. If you right-click an advertised shortcut the target field will be greyed out. An advertised shortcut supports advertisement and repair.
Repair means that if the executable to which the shortcut is pointing is not there then windows installer will repair the application and replace the missing file. In fact, it will also check other important files, flagged as key paths, and if any of those are missing it will replace them as well.
Advertisement is a process in which the application appears to be installed the shortcuts are there but the application is not actually installed. The installation, the copying of files and registry entries, only takes place when the user first launches the application. An advertised install only puts down what we call the application interfaces. An application interface is any way to start the application. This could be a shortcut, file extension or COM interface.
http://www.symantec.com/connect/articles/about-windows-installer-shortcuts