OK then, let's try and get rid of it.

Restart your computer in MSDOS mode.

You should be at the C:\Windows> prompt.

Type the following:

cd Desktop

Hit Enter.

You should now be at the C:\Windows\Desktop> prompt.

Now type DIR

You will see a list of files that are all shortcuts located on your desktop. They will end in a .lnk extension. See if you can spot the darn thing and if you can, simply type delete (space) and then the full file name.