How to remove single file from /usr directory?

I don't recommend you remove anything by hand from the /usr folder, but if you REALLY want to not listen to my recommendation you can remove it with this command:

sudo rm /usr/share/applications/XnRetro.desktop

But I really don't recommend that you remove things from /usr without removing whatever installed to there, because it can sometimes cause problems.

You might want to consider as an alternative moving the file so it has a .old extension. The method as outlined in another answer here, by Daniel, explains how to do this by using this command:

sudo mv /usr/share/applications/XnRetro.desktop /usr/share/applications/XnRetro.desktop.old

A more elegant solution would be using mv.
Type

sudo mv /usr/share/applications/XnRetro.desktop /usr/share/applications/XnRetro.desktop.old

This way you rename the file so it won't be recognized anymore and since the ending is not .desktop it won't show.

If you noticed anything is messed up because of the change you can just use mv again to rename the file to its original name.