When you right click on the Desktop, and select New / Shortcut, the Create shortcut wizard is invoked. This creates a temporary icon, which doesn't point to anything.
If you cancel the wizard, the orphaned icon remains on your desktop for a short time.
If you try to delete this icon yourself:
Windows NT 4.0:
Error Deleting File. Cannot delete New Shortcut: Cannot find the specified file.
Make sure you specify the correct path and filename.
Error Deleting File or Folder. Cannot delete file: Cannot read from the source file or disk.
In either O/S, just leave it alone, and it will go away.
Note: If you delete the temporary icon while the wizard is running, it has no ill effects.