It sounds like you have a spyware infection. Certain spyware programs will install themselves and place icons on your desktop related to things such as dating and adult sites.
I would download, install and update some anti spyware software and run it to see if you can clear up any spyware on your system. You should be able to delete the icons from your desktop but if the spyware is still present then they will most likely come back.
You can also check your Programs and Features for any software that shouldn't be installed and remove it. You can also check your startup items using MSconfig to make sure nothing is starting with your computer that shouldn't. Check out our spyware section for free programs and more help.