A Microsoft file hosting and synchronization service.
If you use OneDrive to sync your files, by default OneDrive will sync your Desktop, Documents and Pictures folders, and if you have more than one device, OneDrive will sync the files between your devices, so if a file is on the Desktop on one device, it will also be synced to the other device, so if you delete a file from your Desktop on one device, it will also be deleted from OneDrive online and the other device..
Before deleting any files, do you have more than one device, and do you want to keep the files on just one device, or do you want to completely delete the files from your Desktop?