You don't want to delete it, because that's a file OS X uses in the background to store things like icon positions for a folder. Why it is showing on your desktop is a bit of a mystery, and while I have some suspicions, it's generally just easier to ignore it.
I've got a DS_Store file on my desktop; dunno how it got there.
How can I delete the little ****** from my desktop?
It can't be successfully trashed because, of course, it's invisible, right?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic