Do you have kids? A roommate?
There is a "Hilarious" work prank where you take a snapshot of someones desktop, then move or delete all the icons and replace the background picture with the snapshot...
To test this theory, go to explorer and look inthe "desktop" folder near the top. You should see all the icons listed. If the folder is empty...  Or try changing the background picture and see if the "icons" disapear[/edit]