There is a seemingly common affliction affecting some users of Windows where they find that their desktop icons receive old-style focus rectangles. This seems to affect Windows Vista and later.
After some investigation, I found the cause to be an Accessibility setting. inside Ease of Access in Control Panel, There is a “Change how the keyboard works” option. This option takes you to another page with “Underline keyboard shortcuts and access keys”. When this option is checked, Keyboard cues are enabled. This includes the underlined text of menus and buttons- but it also includes ListView Focus Rectangles, which means with the option enabled there is a Focus rectangle shown on the desktop rather frequently.
To change this setting, toggle it and reboot.