The file: WindowsServer2003-KB828750-x86-ENU.exe.dll showed up on my
Desktop.  It's rather large(4.5Mb).  I'd like to know (1)it's purpose
and (2) where it should be properly stored if indeed I need this file
as part of another system file. FYI my operating system is XP-Pro.  
Thank you, Chazman409

This seems to have something to do with a patch from Microsoft, see
this page: http://www.updatexp.com/kb828750.html
I'm not sure why it would end up on your desktop.  If you are part of
a network with this computer, I would check with your administrator,
otherwise, someone else may know.

Here is a site from Microsoft that discusses this also, which includes
the name of the file you list, except without the .dll extension.
http://support.microsoft.com/?kbid=828750

This file is a Cumulative Patch for Internet Explorer.  It is a
security update.  However, it is just for Windows Server 2003.  The
fact that it has a .dll extension looks like an error.  Since you have
XP-Pro I would suggest ignoring it by placing it in a backup
directory.   XP-Pro will have it's own update.

Here's the Windows 2003 KB page:

http://www.microsoft.com/downloads/details.aspx?FamilyID=540FB613-8F13-424A-873D-1283DB41D204&displaylang=en

This file, indeed is for Windows Server 2003, so the question is, how
did it end up on your desktop.  If you are part of a  network, I would
be worried that you have an IT person who doesn't know what he is
doing, and in the process of trying to apply the patches, got the
wrong file onto your computer, in the wrong place.  It can probably
just be deleted, but I would worry that your computer didn't get the
XP-Pro version of this patch applied, making you vulnerable to the
attacks it should prevent.  The page in my second post above gives
directions for verifying that you have the patch installed, and I
would suggest checking this.