Do you mean Pacrom (simple looking text based one) or Windups (the Windows-like ince-looking gui)?
If the latter, put your cursor over the thing, press B, and choose delete. THEN place your cursor anywhere but over an icon, press B and choose "save desktop".
If you *are* talking about Pacrom, though, I haven't a clue; I've never run into that problem myself. Are you sure you managed to delete whatever it was and there wasn't a write error or some such?