I think it would be fine to delete it. I've owned many Windows PC"s and never had that. It sounds like it's an old app icon. If it were my computer I would go ahead and delete it.
It is a very old way to save settings for a folder. Your desktop is a folder. Completely safe to delete these days, unless you still have apps that are from win95-98 era.
open any folder and select Folder Options click through tabs until you find where you would hide items. Then check the box that says hide operating system files or something like that. If it is still there delete it you will be ok.