A user reported that all of their Windows Desktop icons and shortcuts were missing on their Windows XP Service Pack 3 computer. It was immediately assumed they had been bit with Malware, and they had. Ran several scans with various packages to clean up this PC, but still the Desktop Icons were missing.
Then discovered that restoring these Desktop Icons and Desktop Shortcuts was super easy because hiding them, as it turns out, is an "option" in Windows.
So it was simply a matter of right-clicking on the Desktop, choosing Arrange Icons By, and clicking Show Desktop Icons.
It's unclear if the malware turned off the icons or if the user did it by accident.
Thanks to this MS article for helping solve this: