Delete Icon from desktop

r-click to delete and all I get is Access is Denied.Drag to recycle bin and same thing only now I get Make sure the disk is not full or write-protected and that the file is not currenly in use. and an error occurred applying attributes to the file. It is telling me that it is 119bytes. and 4.00kb on disk.
I can’t find it in add-remove.I can’t find type of file in my search.Type of file:internet shortcut. I need help with this one.