I also had that file appear on my desktop a couple of days ago. When Xemacs creates a backup of a file that you are working on it appends a '~` onto the end of the file name. I figured that I opened an unnamed file in Xemacs and then when I closed the window Xemacs created a file called '~' on my desktop.

After reading this thread however, I'm going to look into the possibility of something more malicious. I guess my real question is, are you using Xemacs as your text editor?