Think this is XP's version of the "Network Icon" you have on the desktop in 98se. All I have done with mine is to set it for "Always hide".
To do this, right click on taskbar, click on properties, then on "Customise", highlight the icon and a drop down menu will appear with 3 options. Always show, Always hide, and hide when inactive.
Choose the one you want and click on "Apply" then click back to desktop. J.