I experimented with moving my hard drive to another location. If I just drag it, an alias (shortcut) to the hard drive will be created wherever I drop it. If I drag it and hold down Option or Command, a copy of the hard drive will be created wherever I drop it.
It's pretty clear in the Finder if you've made an alias:
In your case, you've made a copy of your hard drive in this location. If the location is on an external hard drive, you can eject the drive to verify that you don't need this copy.
You're probably having trouble deleting it because the copy has preserved the file permissions, and many files will be owned by system accounts. If you try to delete the copy you should be prompted for an administrator's name and password, but otherwise it should work fine.