You wont be able to rename. what operating system are you using?
Try this >>>
Restart in MS-DOS, from the C prompt:
C:\windows\desktop>DIR /p /w this will give you a list of files in the desktop folder, which should include the unwanted shortcut. If the file is listed as xyz.lnk, then to get rid of it go: C:\windows\desktop>DEL xyz.lnk Hit Y if prompted to confirm.
Or get the DOS name for the file. Right click the shortcut and look on the General tab, you will see MS-DOS name, write this down exactly as it's shown. Now boot to dos type: Del C:\Windows\Desktop\your file name