Is it a disk icon, like "Macintosh HD"? Or is it an alias (shortcut), with a curly arrow?
If it's an alias (or some other type of file/folder), just drag it to the Trash (waste basket icon in Dock). I don't think iDisk works anymore (due to the iCloud transition) so I don't think it's a mounted "disk" (server volume).
But just in case you have something mounting automatically at login, go to System Preferences Accounts pane. On the Login Items tab, see if there is anything that starts or opens or mounts automatically at login, which might be related to the iDisk icon being on your Desktop.