I'm not sure that your explanation follows the logic of your script, but there is one thing very definately wrong.

You are setting the value of $fExcel to 1 inside your FOR/NEXT loop, which means that if it is set to 0 in your case statement and then you have another iteration of the loop it will be set back to 1 again.

Initialise the variable outside your loop and it will work better:
Dim $List       ; array of LNK files
Dim $Lnk        ; array enumerator
Dim $Path       ; target path
Dim $fExcel     $fExcel=1

$List = DirList('C:\Documents and Settings\Thijs\Bureaublad\*.lnk', 2)

For Each $Lnk in $List
        'Processing ' $Lnk ?
        $Path = GetShortCutProperties($Lnk, 'Path')
        'Path: ' $Path ?

        Select
        Case InStr($Path, 'xlicons')        ; found - don't need to install
                $fExcel = 0
        EndSelect
Next

; Should shortcut be defined
If $fExcel
        del c:\test\test1.txt
EndIf