The icon isn't going away because something is accessing the disk. Probably the virus scanner. It's the same thing like when you stick in a disk and open it's window - the disk icon won't disappear until after you close the window.
Remove PC0: through PC3: from Devs: Dosdrivers unless you are using them. Remove the virus checker. Does the problem continue?
You may have some other issue such as whatever version of dos.library you have installed, but the Amiga should be smart enough to detect whether you've installed an Amiga-format disk or a PC-format disk, and display only the correct icon.
My money is on the virus scanner trying to scan the bootblock of the disk.
Side thought - your install of 3.9 is screwed up. Just from your car10150014.jpg screenshot. Those icons are wrong. Did you install 3.9 and then install some old version of CrossDos on top of it?
Side thought 2: - line #3 of your user-startup is wacky. Not the way it's supposed to be done with 3.9 but not the cause of your problems either.
