|No, it just removes the shortcut icons from the desktop. The programs are not removed.|
Edit Hold off on that a minute. Normally when you install a program, it does so in the Program Files folder and gives you a shortcut on the desktop. But if you, say, downloaded a file to the desktop then the icon on the desktop is the file and not a shortcut. So if you delete the icon you delete the file. Same thing could be true if you installed a program in the desktop folder.
You should be able to right-click on the icon and choose 'properties' and it'll tell you if it's a shortcut or an exe file or whatever.