After trying to download free clipart, I wound up with Yahoo stuff on my desktop, plus an icon for something called Shredder, which I cannot delete. Also, a file called Winferno has been downloaded, and refuses to give "permission" to be deleted.
Alan Gidney
Be suspicious of downloads - especially codec, free music and screensaver downloads - as they often come packaged with malware or unwanted software. In this case, I suspect you have been lumbered with what looks like a legitimate program: PC Confidential from Winferno. You should be able to uninstall this using the Add or Remove Programs utility. If it has been damaged and won't go away, your best bet is to re-install a clean version from Winferno and uninstall it straight away.
Incidentally, desktop icons are usually just a visual representation of a link to the program. If so, removing the icon is pointless: you need to remove the underlying code.