So, this recently appeared on my desktop:
[Crap, posting requirement. Well, the image is below.]
Shown is the mysterious icon and its right-click menu. I obviously don't want it on my desktop, but as you can see, there is no delete command.

I've tried the following so far, to no success:

• Select the icon and press the Delete key. No effect (same for Shift+Del).
• Drag&drop the icon over the Recycle Bin. No effect.
• Viewing the Desktop folder in Windows Explorer. For whatever reason, it doesn't show up(i.e.not visible at all)
• Google search. Unfortunately all the results are simply of people who misspelled 'Internet Explorer'.
• It's not in the Add/Remove Programs menu in Control Panel.
• A search over my entire hard drive for 'Internet Exploer' revealed no results.

I've never seen anything like this before. As of yet I haven't tried opening it.
Any help would be appreciated, thanks in advance.

Whatever you don't open or double click on it.

I would immediately run a full battery of anti-malware on it. If not sure what to do, I recommend purging the hard drives of clutter with Windows XP Disk Cleanup, ATF Cleaner or CCleaner. If using CCleaner, uncheck the option to install the Yahoo toolbar during installation. Before first use, go to Options > Settings > Advanced and ensure Only delete files in Windows Temp folders older than 24 hours is unchecked. Know your site credentials (user names and passwords) for sites you frequent before cleaning; you may have to login again at next visit.

Download and install Malwarebytes's Anti-Malware (MBAM) and scan as follows:

Check for updates before scanning,
Select Perform quick scan > Scan,
When complete, click OK, then Show Results,
Ensure all is selected, and click Remove Selected,
When complete, save the log in Notepad to a convenient place for future reference.

Repeat for all computers in the "Trusted Zone" of your network (your side of the Internet "gateway" - typically the cable or DSL modem).

If it is still there after that, please follow these HijackThis Procedures to post your log and have our malware removal experts take a look.

Thanks, going through it now. Will get back if anything happens.

Keep us posted either way.

UPDATE:

Just finished running through Disk Cleanup and finished an MBAM quick scan. Disk Cleanup had no effect and the MBAM scan showed no infected files.

Also finished a Norton AV scan. Two results, both of which were removed, but again it doesn't seem to have helped anything.

Will try a Spybot S&D scan tomorrow, and if that fails, then I'll post an HJT log up in the forum.

I would not delay, and post the log now.

Okay, done. Do I post the log here or do I make a new thread in the HJT forum?

New thread in HiJackThis forum.