Get rid of an unwanted shortcut?

Q: I downloaded an antivirus, but the download continuously came up with errors, so i gave up on it. However, it had created a shortcut for the program, and it sits there ugly and useless. But when I attempt to delete it, it states that the file is "no longer there" and doesnt let me do anything with it! Please help, i like being organized and this thing just sits there!! When i try to drag and drop, that's when it gives me the message that the file can't be located and that its not there anymore. Uhhh that was wierd... It just deleted itself... somehow? After posting this i surfed the web a little, and when i closed the window it was gone...???? Oh well. what ever. Person who can best explain this gets best answer -__-. If no one else answers il just give it to wheoever... not that its worth much

A: Just give your computer a big hug for being so understanding ....

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