So long as you're quite sure that the desktop icons are only shortcuts to the photo files, you can just delete them without affecting the files themselves.
Right-click on a shortcut, then left-click delete on the popup menu.
If you want to delete a lot of files, all at the same time, hold down control while you left-click on each of them in turn. This will select them all. Now hover your cursor over one of the selected shortcuts and right-click. Then delete as above.