Cannot Delete Shortcut from Desktop because I need Admin Permissions even though I am Admin

Disable self protection module in advanced settings of Malwarebytes 2.0 then you can get rid of the shortcut. Then you can reenable the self protect module if you wish. It keeps anything from altering or moving or copying any of Malwarebytes' files.

UAC could be an issue here. Or it you didn't install the software from this account, it could be that you are not the "owner" of this software.

Try disabling UAC by going to Action Center and changing the user account control settings to never notify.

1. Control Panel > System and Security > Action Center
2. On the left hand corner, click Change User Account Control settings.
3. Drag the slider to Never notify (all the way at the bottom).

If problem still exists try and take ownership of the application.

1. Right click shortcut and click Properties.
2. Click on the Security tab.
3. Click Advanced.
4. If the "Owner:" field says System or any other user than yourself, Press Change.
5. Enter your username in the corresponding field as highlighted in the picture.
6. Try deleting the application again.

This should work 100% of the time. If it doesn't, you may have got malicious content on your anti-malware bytes.

EDIT: This is an issue with you not being recognized as an admin. You need to confirm your account is listed in the Administrators group. You can do this by following these steps.

1. Go to Computer Management (MMC Snap-in) - Press Windows + X and choose Computer Management.
2. Expand Local Users and Groups then click on Groups.
3. Double-Click on the Administrators group.
4. Confirm your account is added to the group. If not, Add your account.

A simple fix is to install Unlocker, which adds an option to the right-click context menu of Windows Explorer. Right click the shortcut, select Unlocker, and select delete. If it still encounters problems deleting the file, it will attempt to delete it on next reboot. I have had this work with files that I was unable to manually delete before, but occasionally it still would not work. In that case the issue might be able to be fixed by changing the file permissions, as Tech1337 says.