And if you click the Start button, you'll see a lot more icons. They're shortcuts, too. They aren't actual folders or files, either. What I'm describing here may be a mystery to a lot of you. Try to follow this, even if you have two left thumbs when it comes to computing, because it will save you a great deal of grief some day.
Shortcuts are just road maps.
That's all it is. It shows the route to something else to a file somewhere, or maybe to an entire folder full of files. Drag a shortcut to the Recycle Bin and you toss out the map. Windows will let you make another one. But real files and folders aren't maps at all.