In Windows 95, if you had a shortcut to a file on the desktop, view the shortcut's properties, and then clicked "Find Target", you got the message "The target you specified is on the desktop". It also selected the item on the desktop to help you find it.
But why didn't it just open an Explorer window that viewed the desktop?
Because in Windows 95, you couldn't display the desktop in an Explorer window. The only way to see the desktop was to minimize all your application windows. There wasn't a "Show Desktop" button in Windows 95 either. Therefore, the shortcut property sheet did as much as it could: It highlighted the item on the desktop, but it couldn't open Explorer or show the desktop. Instead, it just told you "Hey, it's on your desktop," with an implied, "I took you as far as I could, sorry."
Fortunately, the inability to show the desktop in an Explorer window was removed in later versions of Windows, and the strange dialog box disappeared as well.