From PC World Forums:
To Remove the "My Bluetooth Places" icon from desktop, simply right click on desktop and then go to properties/desktop/customize desktop/clean desktop now. Then tick the box: "My Bluetooth Places" and press next. The icon should then be in a folder called unused desktop items on your desktop. You can then delete the folder if you wish too, it's that easy.
Is it possible that any nomal human would discover this on their own? On a Mac, you know what the instructions would be? "Drag the icon to the trash." It would Just Work.