Like everyone else said:
1. right mouse click the desktop
2. goto properties
3. click the desktop tab
4. Click the Customize Desktop Button
5, Check the desktop Icons you want to appear
method 2
1. goto c:\program file\Internet explorer\
2. Hold down CTRL+SHIFT whilst dragging Iexplore.exe to your desktop
a shorcut will be made
tip:
you can quickly goto start » run and type IEXPLORE to launch IE
Addendum to updated response:
If your having difficultly locating the Iexplore.exe
1. highlight and copy to clipboard (Ctrl+C) the following line:
C:\progra~1\intern~1\iexplore.exe
2. right mouse click on your desktop
3. goto new » shorcut
4. paste the line (Ctrl+V) into the box and click on next
5. click next
(note if that doesnt work internet explorers executable isnt located in your IE folder)