If you used one of a handful of versions of Firefox Portable, it may have created a local shortcut for Firefox Private Browsing. This was fixed in Firefox Portable 106.0.3 Rev 2. To remove the shortcut from your local PC, you can use the Remove Firefox Private Browsing Shortcuts utility.
You can also manually delete it: right-click on it in your Start Menu, select More, and then Open File Location. You can then delete the shortcut from there.