Have you installed any games? Sometimes they'll put their services tools in the Control Panel. You could try somthing like TweakUI, which you should be able to download from the Microsoft website. Have a look there for powertoys, they probably do somthing similar for XP, you can then chose to hide the icon, and may get some clues to where it's come from.
If you have downloaded anything recently, it could be one of the "bonzi buddy" icons. This is a little programme that could have installed itself with any downloads.Usually via a gaming or music freebie download. If it is the "bonzi buddy", then you may have problems removing it, as it tends to get deeply within your computer programmes.Would suggest that you do a google or PCA search, if you think this is the culprit.
If it's bonzai buddy, get Ad-aware from click here and/or spybot s&d from click here to clean it from your system. There then may still be registry entries left, so regcleaner from jv16.org will let you sort through to find the ones related to bonzai buddy.
On the other hand it might not be, but running the programs will rule out most programs which will install without your knowledge.