Is it a background picture, or a file that shows up as an icon?
If it is an icon, right-click it and select "Delete."
If it is background picture,(as a result of clicking "make wallpaper") you must search for it using the Windows Explorer search function. Find it, delete it.
You can also change the wallpaper image using the screen properties:
Right-click the desktop in an open area, select "Properties"
Click the "Desktop" tab.
A list of all available pictures to use as a desktop wallpaper are listed. Change the picture back to what you had before, click Ok.