First restart.
If that doesn't work then Repair Permissions using Disk Utility, Disk Utility is located in Applications>Utilites, select your hard drive from the column on the left, and click the button in the bottom of the window that says "Repair Disk Permissions".
If that doesn't work, and you are familiar with the Terminal, go to your desktop using the command "cd desktop" (without the quotes). Then type "ls" which is short for list, it will list all the file/folders on your desktop. If you don't see your file, then go to the next step below. If you do see your file, I'll call it music.mp3, type "rm music.mp3" that should delete the file, other wise, go to the step below.
If that doesn't work go to ~/Library/Prefrences then delete the file called "com.apple.desktop.plist" then restart.
One of those should work.
