Go into Windows Explorer, find the Desktop folder in your profile (not too difficult, in XP it's Documents and Settings\yourusername\Desktop) and set the view to detail.
Repeat with Documents and Settings\All Users\Desktop (All Users is the folder that holds the icons that are user-independent).
If you find it, you should be able to delete it.
I recently uninstalled a program from my computer, and then realized that there was still a shortcut on my desktop for it. But when I tried to delete the shortcut, windows said it couldn't find it, and I can't delete the shortcut. Must I re-install the program to get rid of the shortcut?