FROM THE MICROSOFT WEBSITE
Note: If you upgrade a previous version of Windows to Windows XP, and Show Desktop Icons was turned off in the previous Windows version, this setting is maintained, and user icons appear to be missing from the desktop. The Show Desktop Icons setting is ignored in previous versions of Windows if Active Desktop is turned off. In Windows XP, Active Desktop is always turned on and cannot be disabled.
To resolve this behavior, turn on the Show Desktop Icons feature:
1. Right-click the desktop.
2. Point to Arrange Icons By.
3. Click Show Desktop Icons.