Yes, this is a temp file that is created by some applications. Some people label it as spyware, but it is simply a temp file. However, the file itself is usually associated with adware applications. I see this a lot with Kazaa and other P2P applications. When do you normally see this file, what programs are usually run in order for you to see it again.
By the way...you can simply delete the file. You may want to consider, if you view a lot of "ad associated" sites, to login as a user without administrative rights on that PC, that way the application or site visited cannot add this icon to your desktop (another place to locate this file is on the root of the system drive.)