When you "execute", it will say Invalid Path!!!
IF you delete, it should go away.
I just did it on my computer, created dialer, created desktop shortcut,
deleted dialer, dleted shortcut. Shortcut iconis now in my recycle bin.
It should work for you. If not, open My Computer and look for "Desktop" in
the "Address Bar", select it, delete shortcut. It worked that way, also.