Sometimes ghosted icons will seem embedded into desktop after dragging them to an app or another folder. I have not pinpointed the issue, but it seems that dragging them from one place to another, while another app is in the background, may provoke this.
For instance, let's say opera (browser) is open full screen in background, on top of this window is a vlc (non full screen) on left and on right file explorer (non fullscreen). Dragging a file from explorer and dropping it into vlc, crosses the browser window that is open in background. Leaving behind an icon and filename impression.
Refreshing the page, killing explorer and restarting, minimizing all windows does not help. This rarely happens so it is hard to troubleshoot.
From what I can tell, closing the app that was in the background will resolve this issue. If nothing else just close any running applications, and it should disappear. Although, I think only one of them needs to be closed, but may be hard to find the culprit.