Mac OS X 10.6.8 - Can't remove SophosUpdate Packages/Folders on Desktop
When I highlight it my trash can turns into an eject button.


This is a huge clue, because it indicates that this is a mounted volume (presumably a mounted image of the update package) and not an actual folder in ~/Desktop.

If you enter mount or diskutil list at a terminal prompt, does anything called SophosUpdate show up? If you see one or more of these listed, you should be able to unmount it with sudo diskutil unmount force /dev/diskN where N is the disk number. Alternately, sudo diskutil unmount force "/Volumes/Volume Name" has the same effect.