You can set a hotkey on the shortcuts in your Start menu, and Explorer will launch that shortcut when you press the hotkey, but not if you are in a fullscreen application, like when you set Paint into fullscreen mode, or when you are displaying a PowerPoint presentation. Why are shortcut hotkeys ignored when a fullscreen application is running?
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The issue is that you're playing a game like World of Warcraft or Unreal Tournament, and you're mashing your keys like crazy, and whoops you slip and hit Ctrl+Alt+C instead of Ctrl+Shift+C, and now you inadvertently launched Calc or something. Whack, you get taken out of your game into Calc, and by the time you get back into the game, your character has been mortally wounded, and you've lost the game.
To prevent this from happening, Explorer temporarily ignores custom hotkeys for Start menu shortcuts when a fullscreen application is running.
Note, however, that there is a bug in older versions of Windows: If you press a hotkey for a Start menu shortcut when there is a fullscreen application running, the hotkey is blocked. (So far so good.) But even if you clear the fullscreen application, the hotkey is still blocked because the hotkey got "stuck" in the blocked state. To unstick the hotkey, press a system hotkey involving the Windows key, then try the original hotkey again. (I use Win+B since it is relatively harmless.)