Weird shortcut on desktop

Yesterday, I opened my computer, which is password protected, to find a JPG image icon on my desktop. I opened it and it is a picture of a nun...old timey(ish). I didn't download this picture...I never download pictures onto my desktop, anyway...always into a folder. When I right click on Properties, it says it came from another computer on a time and day that I wasn't even running my computer. It also has the message that "this file came from another computer and might be blocked to protect this computer." I'm not super tech savvy....so can someone please explain to me where this could have come from and how it got on my computer? I have anti-spyware and anti-virus software, firewall, etc installed.

As you have not mention what kind of pic it is and with your thoughts it seems that you don't require it, then don't think too much and just ctrl+ delete........

Thread Moved to Customize Desktop.

I know I can delete it. I just wondered how it could have gotten there and where it might have come from.

This problem may occurs only if you Download files using Internet Explorer 6.0,Windows XP with SP2 as operating system.to slove the problem run gpedit.msc,Goto User Configuration > Administrative Templates > Windows Components > Attachment Manager,Enable: Do not preserve zone information in file attachments.i hope this will slove the problem.