yea that happened to me when I downloading frogger, the icon would just stay on the home screen..but as the poster said, ssh will remove it
go to cydia (the home page that loads when u click the cydia icon) and wait for it to load
then click the open ssh how to and there will be a link there, click it and install it just like everything else
http://winscp.net/eng/index.php
go to that link and install winscp (for windows)
then open up winscp and for host name it will be ur ip address of ur iphone (go to your wireless network and click the little blue arrow besides it (192...whatever it is)
your username will be "root" and password will be "alpine"
then click login and make sure your iphone is connected to the computer
I didnt want to do it at first cuz i thought it was too complicated..but its simple if u follow the steps
good luck