|The desktop icons are mostly shortcuts as you probably know, unless files are saved directly or in a user created file.|
There are a few different ways in which one can recover them.
First you can try using windows explore and explore desktop. the files may have become hidden. In explore goto tools menu and select folder options. Once in folder options, select view tab. Look for files and folders and then hidden files and folders. check show hidden folders and then ok. NOTE: It is not suggested to "apply" this option as you can alter or accidently remove important system file.
If you notice that windows explore says the icon is on the desktop but it is faded then it has become hidden. Right click on the file opening drop down menu. Select properties and then uncheck hiddene box. Remember to hit either apply (if optional) then ok.
If windows explore doesnot show the file to be there or hidden, It is possible that the shortcut may have been deleted unless it is not a shortcut and a file/folder saved directly to desktop. In this case most often the file/folder has been deleted. Always check recycle bin before emptying just in case.
Is all desktop items/folders/shortcut ect are not showing, right click on desktop goto view select show desktop items.
If recycle bin or a few other such as my network are not showing you may need to recustomize the desktop. I forget how to reset in versions under Vista. If you are using Vista then rickt click on an empty area on the desktop select personalization. Once the window opens on the left should say tasks under should have a few options such as change desktop icons - adjust font size - connect to a projector or other external display. Select change desk top Iems and check or uncheck the icons you want to display or not. For the items to remain on or off next time you boot up, always hit apply then ok. Otherwise will or wont have then next time.
I hope this helps a little bit. Wish I could recall Windows xp process but been to long. I believe some steps are still the same but Microsoft keeps making it harder to get around so have to adapt to new systems and end up forgetting the older ones....Sorry.