Need some more information:
1. What exact Mac model do you have?
2. What exact Mac OS are you running?
3. Have you ever done any disk cleanup/maintenance/repairs, from a software perspective?
4. Can you "nail down" when exactly this started? And if possible, what were you doing with your machine right before this started?
When the "item" appears on your screen, move your mouse over it, and right click on the mouse. One of the options you'll see is Get Info. Select that, and see if it tells you anything.
I guess it is possible you got some adware/malware onto your machine. You could try and download, install, and run the excellent freeware programs Malwarebytes, available from here:
https://www.malwarebytes.com/mac/