Is this a notification pop-up window, which disappears after a few seconds? Or is it a file that appears on your desktop that stays until you drag it into the trash? It's hard to tell from that small screenshot.
Regardless, the first think you should do is open the KM Editor and enter these 13 characters in the search box:
trigger:login
This will show you the macros that have a trigger to launch at login. My main theory is that you have a macro that launches at login that somehow results in that icon being shown.
You could test my theory. Instead of rebooting, try a logout and login. If it still happens, then the trigger is not related to rebooting, but to logging in. This might help narrow the cause.
I'm not sure that my advice here will result in a solution. Maybe other people can spot the problem without these tests.