How to get rid of the circle on my iPhone

I have a floating gray icon on iphone that is some kind of shortcut to a box that opens with 4 options in a cross: "Fav/Gestures/Device/Home" . How do i get rid of it? it floats around and is on top of every application.

My nephew was playing with settings and it appeared, we cannot get rid of it.

Thanks

[Re-Titled by Moderator]