Solution 1 :
Right Click On The Desktop --> There will be an Option of "HIDE ALL DESKTOP ICONS" . Untick It If It is Checked.
Solution 2 :
Go To : C:\Documents And Settings\<User Name>\Desktop\
Check If there Are Any Icons.If there Are None,then Copy Paste The desired shortcuts(eg. games,applications) in this Directory.NOW,U will see these ICONS
Solution 3 :
Press Ctrl+Alt+Delete --> Select PROCESSES tab --> click on explorer.exe and TERMINATE IT.-->NOW Click On File-->New Task--> type "explorer.exe" - (Without dialogue commas)