It could be this.
A vulnerability that could allow an unauthorized user to learn the location of cached content on your computer. This could enable the unauthorized user to launch compiled HTML Help (.chm) files that contain shortcuts to executable (.exe) files, allowing the unauthorized user to run the .exe files on your computer.
Hard to tell if this applies, I can't see what type of links your Windows Explorer is showing.
But remember, the update is cumulative, meaning while the current update does not mention this part being updated, it does include previous updates.