The “Real” SQL server is a comprehensive database from Microsoft. The slight puzzle is that, if you had installed it by mistake (a bit like installing Office by mistake!) you should also have icons like “Enterprise Manager” and “Query Analyzer”, and a new entry in your start menus like “Microsoft SQL Server” with many entries.
There is also “MySQL”, a free database application, but I don’t know what icons that puts on your computer.
Can you right click it and trace the shortcut to the actual program? That may give a clue.
As to how it got there??? There is a version of SQL server that used to come with Office Developer Tools. If you had the full compliment of Developer CDs, you could have put the lot in together, although if you were doing this sort of thing, TBH, I would have thought you would be aware you were adding SQL Server.
There have also been various trials/betas/free .NET developer kits from Microsoft. Have you been on a downloading spree??!!
Other than this, I would be slightly suspicious of any icon (of any name) that suddenly appears as it may be malware.