It looks like you are storing your mail folder on the desktop instead of in the default location. To check this open Windows Mail (WM) and go to the Tools menu - Options and then Advanced tab. Click on the Maintenance button, and then on Store Folder. The address you see there should be:
To correct this you need to make sure hidden files are shown - here's how:
and then on the store folder address box click Change - browse to the address I've shown above and click OK. The store location should now be changed.
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