It's actually only (as far as I can tell) KDE under Mandy 9 that does this. A nice, simple workaround would be to make a script as below, and save it so that it runs upon startup of KDE...
Code:
#! /bin/bash
rm -rf ~/Desktop/Removable media/
and save it under
~/.kde/Autostart. That way, whenever KDE starts, the file is automagically removed anyway. There is certainly a cleaner way of doing this, such as not having it put there in the first place, but I never bothered checking out how to stop it since I don't use KDE.
Hope this helps a little.