You are out of luck here, this bug was reported in the QC 69533 and was fixed in the update 3 of Delphi 2009.
The code used to by the VCL to verify if a file is valid image, doesn't check for the shortcuts files (.lnk) so the VCL thinks which the file is a valid image and try to load the file and then raises a EInvalidGraphic exception.
The exception is only raised in the debugger because a code like this is used to check the validate the filename.
(Only showing part of the real code because is VCL code)
ValidPicture := FileExists(FullName) and ValidFile(FullName);
if ValidPicture then
try
// here try to load the file even if is a shortcut(.lnk)
except //this exception is caught by the debugger.
ValidPicture := False;
end;
Workarounds
1) You can add the EInvalidGraphic exception, to the exceptions list to ignore
list.

2) you can write a detour (here you have a sample) and implement your own TOpenPictureDialog.DoSelectionChange
method (validating the .lnk
files), because is here where is made the validation of the files to load.
3) you can override the DoSelectionChange
method of the TOpenPictureDialog
using a interposer class, to validate the files to load.
TOpenPictureDialog= class (ExtDlgs.TOpenPictureDialog)
procedure DoSelectionChange; override;
end;