I don't recommend you remove anything by hand from the /usr folder, but if you REALLY want to not listen to my recommendation you can remove it with this command:
sudo rm /usr/share/applications/XnRetro.desktop
But I really don't recommend that you remove things from /usr without removing whatever installed to there, because it can sometimes cause problems.
You might want to consider as an alternative moving the file so it has a .old extension. The method as outlined in another answer here, by Daniel, explains how to do this by using this command:
sudo mv /usr/share/applications/XnRetro.desktop /usr/share/applications/XnRetro.desktop.old