That icon is a Browser Push message.
Go to Messages > View Folder and check your Browser Push and WAP messages. Delete them from there.
To reset your device: Options > Security Options > General Settings > Menu Key > Wipe Handheld.
Make sure you create a backup before this, otherwise you'll lose all of your data, contacts included.
The difference between stupidity and genius is that genius has its limits.
When you take things for granted, the things you are granted, get taken.
Even a mosquito doesn't get a pat on the back until it starts to work.
Too many people miss the silver lining because they're expecting gold.
[BES 5.0.3 / GroupWise 2012 HP2]