Cannot Delete Icon From Desktop

I have an icon on my Win7Pro desktop that cannot be deleted, changed, or anything. I believe it was originally connected to a pdf file that I downloaded (from a reputable site) but the download was interrupted. It's file name is simply Donor.

When I try to delete it I get a flash screen that states: Could not find this item. This is no longer located (in desktop location). Verify the item's location and try again.

I cannot rename the file. It's properties shows that it is on the desktop but has 0 bytes.

I have tried about a gazillion things to no avail, including: Searched the registry for any entry that matches Donor, with nothing found. Booted into safe mode and tried from there with no luck, still won't delete. I am using full Kaspersky and a complete system sweep shows no malware, virus, etc. Found some sites that gave some script for trying to remove such files via the CMD prompt, but result always was that the file does not exist.