Mysterious 'Deleteme!!!' file

Earlier today I visited a lyrics website which are notoriously bad (I know), but after I visited, I noticed a file on my desktop called Deleteme!!!

As I remember it had no extension but it did have 66kb when viewing its properties.

I did not delete it because that seemed too obvious. I instead did a system restore and after doing so the file was gone.

Have you guys ever seen this before? Am I safe with my methodology?
Should I do anything else?

Thanks guys/gals

Dan