Having identical problem, even to the same games. Once a week, usually Sunday morning, they disappear. Have tried rebuilding icon cache, no change. The ONLY icons being deleted are those that i create by going into Explorer, to the program executable, selecting & right-clicking, then using the "Send to Desktop (Create Shortcut)" option. System icons, and any created by an install process, are left alone. Hopefully, this might give someone else a clue??