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?
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.