Firefox removed the picture that was being referenced, that why you get the error message but Firefox doesn't maintain the desktop list, W7 does, so I doubt reinstalling & uninstalling will help. I have one pointing to a picture I have moved, totally unrelated to Firefox, that works exactly the same way.
I don't see it as a big deal but I am trying to find where it is stored so you can delete it. I've already checked the registry and it's not maintained there.