Try this:
Click the Start button
Type 'shell:favorites' in the box. (NB: Remember to use the US spelling!)
Look above where you've typed and you'll see the same thing listed there. Double-click on it.
You'll now see the contents of your 'Favorites' folder. You may need to double-click on a sub-folder to get to where you want to be.
The shortcuts can then be managed in the same way as any other Windows files. i.e. to select a block of files you can click on the first one and then hold Shift down as you click on the last one. To select lots of individual files as a group, hold the Ctrl button down as you click on each in turn.
When you've highlighted all of the files you no longer want, right-click on any of them and select 'Delete'.