A client called us today very concerned about an icon that had just popped up on his desktop. He was worried it was malware. He immediately logged off and called us (absolutely the right answer) to figure out what was going on.
We connected in and looked at the icon. It looked like this:

You know how Microsoft puts their Spotlight photos on your login page with a link to “Learn More”? If you use Microsoft Spotlight as your desktop background, you’ll see this icon which behaves just like the rest of your desktop icons, except that it can’t be deleted and does nothing particularly useful. The only solution is to choose a specific desktop background and avoid Windows Spotlight. (The same applies to the login screen if you want to get rid of the links there.)