The  desktop is the mainstay for all users of laptop and desktop computers  — it’s the place to store temporary files, post notes and do all the  tasks that computer users do. Some people don’t mind if their desktop is  cluttered with lots of icons, while others feel the need to have a  clean slate to work with. If you’re having issues with deleted or  unwanted items on your desktop — including links to things you may have  downloaded — it can be frustrating when they won’t go away. To fix the  problem, start with the simple stuff and then move on to more involved  steps for removing those unwanted items.
Right-Click
The  first thing to try is to send the file to the trash. To do this,  right-click on the file on the desktop and then select “Move to Trash”  or a similar function from the menu that appears. In the best-case  scenario, the item will peacefully be moved to your computer’s trash; if  not, you may see an error message that will give you information about  how to remove the item.
Task Manager
If  the item is in use, it may not move to the trash until you close it from  the location where it is in use; this means you have to know where the  item is in use. One way to find out is to look at the Windows Task  Manager, which shows you all the current processes, programs and  activity currently happening on your computer. To open it, right-click  on your taskbar and then select “Task Manager.” From there you’ll be  able to remove or delete any of the unwanted items.
Download Manager
If  you’ve stopped a download in the middle of the download process, you  may be encountering issues because the file is only partially loaded.  One possible solution to this may be to remove it from your from your  Web browser and find your downloads. Click on the name of the item that  is stuck on your desktop — if it’s listed there — and then press  “Delete.”
Add/Remove
Another option is  to try removing the icon using your computer’s Add/Remove function,  which can safely remove applications. On a Windows computer, select  “Control Panel” from the Start menu and then click “Uninstall a  program.” Look for the program or item you want to remove and click  “Uninstall.” If this process does not work, try a third-party removal  tool such as CCleaner or Wise Registry Cleaner to scan and remove junk  items. Source: Deleted Links Are Stuck on My Desktop