Have you tried to sync?, try to explore the active sync file. The shortcut may have gotten messed up if you have more than one device. same thing happened to me but it was still there.
I have left it going for 5 minutes, still a blank folder
I am not exactly sure what I am looking for in there, as far as shortcut, it says "Mobile Device" that's it. What should the address be to the Jornada(s) anyways?