You're presumably on a computer owned by your company?
Direct Access is technology built in to Windows 7 and Server 2008 R2 that automatically creates a connection between your PC and your company's network whenever you connect your machine up to the internet. It's a bit like how people used to use VPNs to connect their laptop up to the corporate network from home or hotels, except that this happens totally transparently as you log into your machine and doesn't disrupt you from connecting to other resources outside the corporate network (unless your admins have set it to do so).
Short answer, easiest way to get rid of it is to either disconnect your machine from the internet, or plug directly into your corporate network.
You could also hide the icon if it's annoying you by right-clicking a bit of blank taskbar near those notification icons and selecting
Customize notification icons you can then find it in the list and change the behaviour to
Hide icon and notifications.