I haven't heard of this problem but I've got one that is very similar.
On the "Desktop" of a laptop running Win 2000 with SP3 there is an "htm" document that appears to consist only of the text in the title which is about 70 characters long. It has the default IE icon.
Whenever I try to delete it, an error message says that Explorer is now going to be shut down. The Desktop quickly reloads and all is well. I can see the properties (normal) but cannot change them. If I try to move the icon, the error message reappears and the Desktop reloads.
If I double-click to try to open the "document" in IE, I get the same result.
There were the remains of a neutralised "bugbear" virus in the Temporary Internet Files (as is normal) and they have been deleted.
So I'm flumoxed. Maybe these problems are related.