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It's a desktop icon. :3
Try lowering your desktop resolution so you can get a snap of what it says.
You should also be able to right click it and see where the shortcut leads you.

Do you live with other people / could someone edit your desktop background and photoshop a picture of some kind of icon on it?

If you suspect malware, try Malware Bytes Anti Malware (If prompted to install realtime protection or a free trial of the premium version, decline. You can use the free manual-scan version to scan your machine for issues and upgrading to premium would probably just be a hassle if you intended on keeping it around for the future. When starting a scan, do a custom scan and deselect 'Scan Within Archives' as you almost never need to do that and that should reduce scan time to 15-45 minutes instead of hours.)

https://www.malwarebytes.com/mwb-download/

Might be part of the UI or some kind of tooltip window/context menu of a program you use?
You could try using Process Explorer to figure it out, maybe.

https://www.computing.net/answers/hardware/how-do-i-get-rid-of-small-blue-box-with-arrow/68010.html ?

You could give this a try.

I recognize it! It's the "release here to snap" icon from AquaSnap. Dunno why it's getting stuck on your desktop, but you can turn off that indicator entirely in the Appearance tab of the settings.