strange mailbox folder on desktop

[tbluhp]

Ok on my desktop for some odd reason I see a mailbox folder (no icon nothing) just the name so I click on it and once clicked on it goes away. What going on? How to fix?

See this photo
http://www.spymac.com/details/?1962018

 

[Telp]

In your mail preferences go to general and its there under downloads folder.

 

[tbluhp]

In your mail preferences go to general and its there under downloads folder.

That is the mail downloads folder not the mailbox folder.