Once I delete this file it reappears, how do I get rid of it?

I just bought a macbook so I'm just getting use to the new system... A file called .ds_store appeared on my desktop after I downloaded a Veoh player. The player didn't work so I deleted it but when I tried to delete the .ds_store it just reappeared. It's not just on my desktop; every folder I open has this .ds_store in it. Did I break my computer? How do I get rid of this file?