If the icon is on your home screen, then it's an app you recently installed. You can get rid of it by either long pressing the icon and dragging it to the trash (which just removes the icon but leaves the app installed) or by uninstalling the app.
If the icon is in your notification bar on the left, drag down the notification bar, long press on the notification and it will tell you which app produced the message.
If the icon is in your notification bar on the right, then it's most likely a system setting or process you recently turned on. In that case, as @Dannydet suggested, a screenshot would be very helpful.
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