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I know figured out that it is an alias on my desktop. What is this? Why cant i get rid of it?

Hello everbody, I am a Mac newbie in help. I just downloaded and installed a program. The program is up and running but i have this annoying icon on my desktop which cannot be removed. If i drag it to the dock it will just make a copy. if i drag it to programs; it says that there allready is an...