putty.rnd on desktop

I don't know has this problem been posted before, but it really annoys me.
When I quit Winscp application, a putty.rnd file suddenly pops up on my desktop.
Is this a common behaviour or a something related to my winscp preferences?
Naturally I don't want a 4 Kb non-shortcut file on my desktop.
Please, somebody help!

What do you have in Random seed file option in preferences?