CHK files are what the message you quote states - that is a file fragment - due to the way that file systems work files are actually often stored are multiple parts or fragments. (hence the term Defragmenting that is applied to setting these files into contiguous files)
when something goes wrong with the file system these fragments can lose their link to the other fragments that make up the full file, and the system can make the fragment into a separate file - as with the one you can see on your desktop.
They may sometimes be useful if the file once contained irreplaceable information, but recovering this information is a specialist task.
as has been said unless you are missing vital data that may be in this file then it may be safely deleted
hope the explanation helps to clarify things