Hi Dear,
The extension .LNK from a Windows computer means it is a shortcut. So, when you click in a LNK file you go to another file or program. Example, the Microsoft Office Word is installed in a place in the computer called c:\\program files, but you can access it from desktop or start menu. It means you have a LNK file in the desktop or start menu pointing to Microsoft office Word installed in c:\\program file. Try click with right button / properties in the Microsoft Office Word to see it.
Backing to metter, as you did move the files to a Mac the path registered in this LNK file has changed. In this cas you should looking for this file in the Windows laptop or you could provide a remote access (with help if you need) and then we can search for this file. Important to say that if you delete the original file or it has another name perhaps we won't be able to find it.
Any doubts let me know.
Best regards,
Thiago