Make sure you erase from the highest level possible. If for example in disk util it showed a usb drive and a CD under *brandname*-device (or something similar), then select the top device and erase, repair, and un-partition as much as you can. Unplug it, restart and see if the problem persists. It could only by a buggy icon (weird formatted???, if it was configured with or for a pc, especially other than xp). If you notice any other weird icons you may want to flush your system cache. (delete /library/caches not /System/Library/Caches) If after another reboot (full reboot, not a terminal induced substitute, as they don't replace caches) see if the problem persists.
If it does then the last culprit that comes to mind is filesystem corruption. This does not in itself spell out major trouble, but rather that you should be cautious, and attempt repair with the supplied apple install CD.