Best way is to uninstall the application. Is it really application, or just website bookmark? If it's Just bookmark, it was probably created by some application, which has permissions to create bookmarks on homescreen (in this case, just delete it and uninstall that crappy app). If it's preinstalled app, you can disable it in Settings/Applications/All applications, find it here and Disable (have to uninstall the updates before). If it's app showing in launcher, install another launcher (ADW), which can hide apps.
PS: Describe you problem better next time.