I found this in a few different places around the 'net - hopefully it's helpful:
Add Familiar Icons Back to Your Desktop
It's the case of the missing icons. Many of you may be wondering where all the icons from your desktop are in Windows XP - can place at least My Computer, My Network Places, and My Documents on the desktop.
- Right-click on the desktop, and then click Properties.
- Click the Desktop tab and then click on Customize Desktop.
- Put a check mark in the box next to My Document, My Computer, My Network Places, or Internet Explorer, to add those familiar icons to your desktop.