Unless it is a junction point or virtual file system link then nothing is truly undeletable. However I'm struggling with the "on my desktop" part. The desktop is just a folder with files or, more ideally, shortcuts. As such you should be able to go to your desktop and delete anything off it.
But now we get into security. If the folder is locked down by an admin account then you'll need to be an admin to remove it. If you are an admin, you have confirmed the UAC prompt and you still cannot delete it then it is possible that the file is owned by the system. In that case you can go to the Properties/Security tab, take ownership of the folder and then you should have access after the changes are applied. If you don't see security options at all then it is most likely not a regular folder.
If that doesn't work then the next step would be to look to see if any linux-related stuff is still installed, like a virtual redirect driver, that owns the folder. In that case you'd need to remove the extra stuff. I wonder about Windows Subsystem for Linux here...
If that still doesn't work then reboot in safe mode and navigate using the shell to where the folder should be. Try deleting it from there.
Screenshots and additional information may help provide better suggestions from the forum.