It's a symlink that points to a file that doesn't exist. There are many ways this can happen, in this particular case my text editor (emacs) seems to keep some metadata about which user, machine and process is editing a file. I tried to reproduce in 2.6 (Debian sid amd64) and I can confirm it still happens:

timo@ttimozilla:~$ mkdir test
timo@ttimozilla:~$ cd test
timo@ttimozilla:~/test$ ln -s foo bar
timo@ttimozilla:~/test$ ls -1l bar
lrwxrwxrwx 1 timo timo 3 Apr 19 17:12 bar -> foo
timo@ttimozilla:~/test$ ls -1l foo
ls: cannot access foo: No such file or directory
timo@ttimozilla:~/test$ python2.6
Python 2.6.5 (r265:79063, Mar 20 2010, 03:56:44) 
[GCC 4.4.3] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import shutil
>>> shutil.copytree( '../test', '../test2' )
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/lib/python2.6/shutil.py", line 177, in copytree
    raise Error, errors
shutil.Error: [('../test/bar', '../test2/bar', "[Errno 2] No such file or directory: '../test/bar'")]
>>>