I'm not exactly sure how it would work with Macs, and I won't have access to one for a week to test it out, but I might be able to help.
The link to the program, I'm assuming, would be a shortcut. I'm not exactly sure how they work on Macs , but maybe if I explain how to find it on PC it will help you or someone else find it.
Open the properties menu for the shortcut. I'm not sure how to do it on Macs, put you right click the icon on PCs and click properties from the menu. You will get a dialog box like this. Just click on the circled button and it takes you right were you need to go.

Again, this is going by a PC. I hope it helps finding the right folder on a Mac. Sorry if it doesn't.