Remove Alias from Desktop

OK, so I installed Parallels as a trial and found that due to the way that it creates a Virtual C Drive the only Windows software I have to run wouldn't, however, Virtualbox would run it perfectly.

I've followed the instructions to remove the Windows installation then remove Parallels so I get my disk space back, however, when I removed the Windows XP installation the Desktop icon changed from Parallels to a blank white icon marked Windows XP which I now cannot remove.

It appears to be an alias but is one which was created by Parallels. I'm banging my head up against a brick wall on this one.