|Chris, Which version of Internet Explorer are you using? In the meantime check out the link below especially under "Method 2: Add the special Internet Explorer icon to your desktop"|
Edited to add: I restored my IE icon with all of the tabs to my Desktop by using Tweak UI. You can download it at the link below.
After you download and install it you'll find it in Start>Programs>Powertoys for Windows XP>Tweak UI.
Open it, click on Desktop (left side) then checkmark Internet Explorer, click Apply/OK.