Sounds like you've made a "My Documents" toolbar. Right click on the Light Blue "My Documents" on the taskbar and select "close toolbar", or right click on the taskbar and from popup scroll to "toolbars" and uncheck the My Documents toolbar.
If there is no "My Documents" icon on the desktop you can add this plus others via:
How do I put the My Documents folder back on my desktop?
*Click on the Control Panel.
*Choose Display Properties,
*Choose the Desktop tab.
*Click on the Customize Desktop button.
*Check the My Documents box.
The My Documents folder icon should now appear on the desktop.