It's probably in your startup folder, Phil, so each time your PC starts, the program puts that icon in the tray ready to fire up. If the entry is still in the startup folder, the icon will still appear, even though the program has been removed.
Right click the Start button, then Open the Start Menu, find the Startup folder, and you should be able to remove it from there.
If it is set in your registry to start with Windows, you can still remove it by Start > Run > Msconfig > Startup (tab), find the entry and either just disable it, or if you're OK at delving into the registry, make a note of the registry entry location, and you can remove it from there. Of course, a backup of the registry should be made before any tinkering.
Hope that helps, come back to us if not.