I have the same problem - going to Tools-->Settings-->General-->Data File Path and changing the location (to default, or anything else), doesn't fix the problem.
The problem began when I changed the locations to my deskop (I thought I only changed the default download location, but possibly the Data File Path) - changing both back to their default values stopped Favorites.dat, History.dat and 2 others from appearing on my desktop every run, but Queue.dat still appears every time for some reason. I just now upgraded to 980 and it still does it.
Small annoyance that doesn't bug me much, but I was just wondering if anyone else has dealt with it.