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I believe that you can just delete the shortcut. it's just some sort of "special" windows shortcut that gives a different option.
Sort of like having the my computer icon on the desktop.
I just tried dragging the icon to my trash and it asked me if I wanted to delete it from my desktop. I'm sure that you should still be able to just run it from another icon or something.
I just tried it and deleting the icon from the desktop didn't do anything special. I was able to create a new IE shorcut/use another IE shorcut to run IE.
Note: when I replaced the shorcut, it replaced it as a regular shorcut not that weird one that does the internet options thing.
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