Most desktop icons can simply be dragged to the Recycle Bin. However, there are certain ones (such as internet explorer) which this doesn't work for.
To remove these icons from the desktop, right click on an empty portion of your desktop and go to properties. The display properties window will open up. Click the desktop tab, and then the Customize Desktop button.
There, enable/disable the checkboxes to put My Documents, My Computer, My Network Places, and Internet Explorer on your desktop.
Optionally, you can also change what these icons look like.
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