I've had this bug before a few times on XP and 2000 and 98 - and this time on Vista (the icon image of a downloaded file persists on top of everything else, yet is not interactive) and never has anything other than a restart helped to clear it in my experience. Since this just happened to me again and immediate Googling only tells shows me topics on how to make an icon stay persistently visible (fail), I'm aksing here - is there a way refresh this frame buffer or whatever it is that holds the icon image (I can still move my mouse cursor over it and when I take a screenshot, it's there) or am I stuck with restarting Windows? Note that I'm asking much more out of curiosity than neccessity - I really could restart if I wanted to. Then again... I'm sure this has happened to lots of people before.

I've occasionally had success with forcing full desktop changes (ctrl-alt-delete to the secure desktop or logout or something), but not always. You could also try a resolution change, maybe?

Changing resolution had no effect, but a log off cleared it. Which is almost as good as a restart because I had to close everything. Oh well - load, my tabs! load!

Funny they haven't fixed this, because I'm almost certain I can trace memories of this back to Win 95...

I've never seen this bug myself, but at a wild guess I'd have thought the shell would have been responsible for it - try killing all instances of explorer.exe via the Processes tab in Task Manager, then starting a fresh one from the File→New Task menu to bring back your desktop?

Right-click desktop -> Refresh has always worked for me.

What works for me is picking up the original icon and drop it again(hold left mouse button), and the ghost will go away.

Open TaskManager.
Kill "explorer.exe"
If it doesn't startup automatically shortly after, start a new task for "explorer.exe".