First try clicking on start, Control panel, Internet options.
Click on Advanced. Scroll down to "Show Internet Explorer on desktop" and check the box. Click on Apply.
If your still not in any luck try these steps which are on the MS site.
1. Click Start, Run.
2. Type "regedit.exe" (Without quotes).
3. Navigate to the following registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel
4. In the right hand pane, double-click {871C5380-42A0-1069-A2EA-08002B30309D} key.
5. Enter dword value as 0 to enable the Internet Explorer icon on the Desktop.
or..
Alternatively, create and run a .REG file.
1. Open Notepad (Click Start, Run, type notepad.exe)
2. Cut and Paste the below lines. (Ignore the Start from Here and End Here lines)
# Start from Here
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel]
"{871C5380-42A0-1069-A2EA-08002B30309D}"=dword:00000000
# End Here
3. Save the file with an extension .REG and double-click it to add the Registry value.
4. Refresh (F5) the Desktop.
NOTE: The same registry file can be used in Windows Vista also.
Hope this helps