DWLPL, after you get to the DOS prompt type this:
CD DESKTOP
(changes the working directory)
to find the offending file/folder do a DIR read:
type DIR
You will see a list of the contents of your desktop and might need to scroll around a bit.
Now the fun part:
Type RMDIR /S FOLDERNAME
where foldername is the name of the offending folder. Note that if the Folder name contains spaces enclose the name within quotes.
Example to kill
Out damn Folder we would type:
rmdir /S "out damn folder"
Note that each DOS command needs to be followed by the ENTER key to execute.
Good luck !
When you are done type EXIT and hit ENTER.
PS if this won't fly - take BST's advice and get Hijack this - excellent tool and entirely legit despite its' name.