This problem happens if the Indexing service or some other process (such as an open file agent) has opened the indicated temporary file during profile synchronization.
If so, the temporary file is not deleted. It is uploaded with the roaming profile when you log off and reconciled to the local profile when you log on again.
Although antivirus software may also cause this problem, the impact is likely to be minimal because there are fewer file operations for such processes than for Indexing and open file agents.
I would delete the file have the user log off and see if the file comes back. If the file returns then you should keep an eye on the process monitor – is the file on the desktop before it comes up or is it there afterwards?