I had a shortcut on my Desktop which was a white shortcut 341 kb(It was originally a picture) but with nothing showing up on properties, security, etc... It was originally a .jpg file.
For days I was trying to get rid of that damn thing and it wouldn't delete it at all. Every time I tried to delete it I was getting a message saying: This file could not be found and it isn't on your system... I tried CMD, prompts and in every Forum I followed the instructions and nothing...the shortcut was still there!!
I installed and ran Spybot, Malwarebytes, ASC and scanned my PC over and over again thinking that could be a virus but fortunately it wasn't.
Today I plugged my memory stick on my PC and I finally could remove the damn empty shortcut!!
It was a picture I had previously loaded from my memory stick to my desktop. It was a Zip file (inside the B1 free Archiver program) and when I searched again with the memory stick plugged the file was there!! I got it and so I went to my desktop again and tried to delete it and it was gone!! I hope this helps anyone having the same problem I had.