It is a shortcut to some Finder add on you probably have deinstalled or doesn't work with Mac OS X 10.7 Lion. To remove it, hold down the CMD key while dragging it off.
The below post is also a good explanation, but maybe I should throw a fit.
haha, I remember back in 2007 when I was wondering the same thing
I bet that people are either ignoring you or going to rage you for not knowing it.
The explanation to that is: The file/pic/doc is missing. Say, you created a new folder on your desktop, and put it next to that question mark. Then, you delete the folder from your desktop, and empty the recycle bin. then, you'll see that the folder icon just changed into a question mark.