If you're referring to a desktop shortcut, then try this. Right click on the icon and under the "General" tab make a note of the the location. Now in Windows Explorer navigate to that location and delete the file there. If file you have placed on the desktop you can do the same thing. In either case you should be able to delete directly fom the desktop, but a large file will be permanently deleted without the option to first put it into the recycle bin.