use explorer
go to C:\Documents and Settings
under the user name or default user (whatever)
C:\Documents and Settings\Default User\Desktop
the desktop folder, if you get the right user will show you all the
icons and files on your desktop
right click the one your interested in and go to properties
click on 'find target', that will show you where the file is
if it is on your desktop as a file you can delete it there
or follow the path to where the file is and delete it there
if you are sure you want to delete it
if your virus scanning program didn't find any virus' then don't automatically assume that if you don't know what it is that it's a virus
randomly deleting files that you don't think the PC needs is the best way (proved by user) to crash PCs
or go to www.winpatrol.com and download their free version and use it to watch your PC and gives you the the option to accept or reject any changes