Found it. McAfee installed a backup program on my system.
Welcome to the forum glenng
*Sarcasm filter on*
Isn't that nice of McAfee to let you know.

This McAfee program must be one of those "all in one" suits that does everything but none very well.
IMHO you would be better served by a separate backup program if thats what you want (unattended backups).
*Sarcasm filter off*
Glad you got that figured out.
Looking at your screen shot, unless you have the little arrow overlay turned off that indicates a shortcut, it looks like you have actual files and folders on your desktop.
You would be better served by creating a folder, say on your C: drive and placing those files and folders there, then creating desktop shortcuts to them on your desktop in instead of having the actual files and folders there.
This way if you inadvertently delete one of these desktop objects all you are doing is deleting the shortcut.
In case you didn't know you can create a desktop shortcut to any file or folder by right clicking it and choosing "send to>Desktop (create shortcut).
The only file I see of the four in your screenshot that you shouldn't move is the desktop.ini file.
This file tells the computer how to "draw" the desktop.
It should be hidden from view but you must have "show hidden files and folders" option checked in Control Panel>Folder Options> View.
In previous versions of Windows Win 2000, XP showing hidden files
did not show the hidden files on the desktop. I'm not sure about Vista but Win 7 exhibits this annoying behavior.
What I do is change the setting to "hide the hidden files" until I need to access a hidden file.
This behavior of Win 7 is annoying to me as I would rather leave "show hidden files ... " checked
because I fairly frequently access hidden files etc.