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When I try to delete one of these two shortcuts, a message appears saying, "If you remove this file, Windows or another program may no longer work correctly."! I don't think that it is possible to keep same named files into a single directory. Is this any malware or anything harmful for my PC?

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One of them is in the “All Users” profile (%PUBLIC%\Desktop). One of them is in your profile (%USERPROFILE%\Desktop). They are both hidden system files. If you want them to disappear, you’ll have to set Windows Explorer to hide them. This is also the default setting.

To change this setting, open Control Panel, search for “Folder Options”, open it. In the “View” tab, find “Hide protected operating system files”.

Nothing “malware” about this, this is perfectly normal behavior.

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    can you be more specific please, what's their exact role and purpose? i analyzed their content but didn't fully understand what they actually do. – user373230 Oct 12 '14 at 11:25
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    By default, they contain information on where to get the icon and localized folder name. On regular folders, where the “Customize” tab is available in their properties, these settings are stored in desktop.ini too. Here’s some more (albeit old) info. – Daniel B Oct 12 '14 at 11:31
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    They aren't critical at all – the message when deleting is the same for all hidden system files. I usually delete them because they make my desktop look untidy. :) – ntoskrnl Oct 12 '14 at 18:10
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    @johnsmith That should be a question of its own, not a comment on another question. – Mr Lister Oct 12 '14 at 20:31
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    @ntoskrnl It’s likely they’ll appear again. You might also lose the folder icons and names (on non-English systems) if you delete them. Setting Explorer to hide protected system files is a better solution. You don’t need them every day, after all. – Daniel B Oct 12 '14 at 20:55
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You can have two files of the same name, but if you move them around it might mess up their icons as they both will start moving

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