Er, are you sure that program is made by Microsoft?
My google search of "Microsoft Live Security Platinum" results in a list of how to remove malware...
Sounds to me like you're infected. Messing with the desktop icons is one of the many ways new malware screws around with you.
Install Malwarebytes Antimalware Free and run a safe mode scan... That is, boot into safemode and run the scan from there.
Edit... Stupid advertising crap on this site.... go to http://www.malwarebytes.org
to download the program, not amazon like the above link wants you to.