First of all there are two tupes of icons on your desk top, those that are for programs, and the others are for everything else. You can delete the icons fro programs by right clicking, and the select delete. You should recieve a warning message telling you that doing so will on;t remove the shortcut, not the program.
If you try to delete the other icons, you will get a messages asking if you want to send the folder and all it's items to the recycel bin. You don't want to do that, although, while still in the recycle bin the items can be restored, but once you empty the recycle bin they are gone.
Instead, what you want to do, I think, is send those items to your 'My Documents' which can be accessed from the start menu.
To do that right click the icon you want to send, and scroll to the 'send to' option, then choose the 'my documents'. Once you have done that you can safely 'delete' the desktop icon by right clicking and and choosing delete.
You may also want to read the srticle in this link,
http://support.microsoft.com/default.aspx?scid=kb;en-us;306542&Product=winxp