Thank your for answering.

This time Spybot found nothing. But I wonder.. if this file could re-create itself one time, there must be something more that Spybot did not detect? And this thing can re-create that file later? Should I disable System Restore and run HijackThis?

Also, I suspect someone from the outside have penetrated my firewall and paid a visit. I read this Firewall Leak Test, and it seems getting past my Symantec firewall is easy as cake. I don't know how to confirm my suspicion. Maybe creating a shortcut on the desktop was a practical joke, some kind of "I was here" message.