In the shortcut, below the "target" field there is another field. No idea how its called in English but translated from what I have here (Dutch) it should be something like "start in" or maybe execute. Check if the path to the Arma 2:OA folder there is correct.
It should be:
"F:\amazon games\ARMAArrowhead\OperationArrowhead"
(including the "".
Check it and fix it if its wrong.