Although there are no reports of a piece of malware using that name, still be cautious just in case.
Looking the file extension up in filext.com, it seems to be one of the following files: AutoCAD Template, Dreamweaver Template, FrontPage Dynamic Web Template, GoLive Web Template, or a Demon's World Game Texture File.
If any of those sound familiar, you might have it there purely accidentally because you saved something to the desktop.
If none of those are installed in any way, you may wish to run the file through your anti-virus scanner and spyware scanner to see if it contains nastiness.
If it's just using up space and you want to get rid of it, I'd suggest moving the file to another location and seeing if any programs no longer function correctly. If a program doesn't operate as before, you can move the file back. Saves deleting it when you may need it.
Remember that a backup of the computer is highly recommended before you try these steps in case Windows no longer loads correctly. It's easier to revert than to rebuild.