Are you talking about all your icons, or just a certain one?
If it's all icons then:
Make sure there are no active web pages on your desktop:
(I'm assuming you have winXP)
Start -> Control Panel -> Switch to Classic View (on the top left) -> Display
In the Display Properties, goto the Desktop Tab, then the Customize Desktop button. Then click the Web tab and delete all items listed under Web pages. You cannot delete"My current home page". Just make sure it is unchecked.
Then click Ok on all the windows.