I found this in a few different places around the 'net - hopefully it's helpful:

Restore Icons That Have Been Removed from the Desktop in Windows XP

This article describes how to restore the My Computer, My Documents, and My Network Places icons after they have been removed from the desktop.

In Microsoft Windows XP Home Edition and Professional, the new Start menu is enabled by default. When the new Start menu is enabled, the My Computer, My Documents, and My Network Places icons are removed from the desktop.

• Right-click the Desktop and click Properties.
• Click the Desktop tab.
• Click Customize Desktop.
• Click the General tab, and then click the icons that you want to place on the desktop.
• Click OK.