SAP Shortcut doesn’t get started using IE6 from SAP Portal

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Symptom
When trying to launch transactions from the SAP Portal using an SAP Shortcut file (SSF, extension: .sap), an error popup may be displayed.
For GUIs upto and including patch 14 of the SAP GUI 7.10 an error popup with the text
“SAPGUI: Not all data for SAP GUI shortcut is available. System ID is unknown. Enter [...]