Factory rollback can mean hours and hours of Windows update, app reinstall and recustomize... If all you want is for that icon to open up the Windows Explorer (and not bury itself into your taskbar)... try this:
1. Click as above -- and select "create shortcut". Now you should have those two icons on your desktop -- the original dir and the shortcut.
2. Right click on the shortcut icon you created and make sure it's at "run normal". Click it once and it should open up your Windows Explorer -- showing the directory and files. Now you can get rid of the original, misbehaving one -- as below:
3. Now find an empty space on your desktop and right click to get the display properties. Click 'personalize' and then select 'change desktop icons'. Unclick "users files" to make that icon disappear.
Hope this works. If so, it can save you hours of work.