Open Windows Explorer, and click on Desktop. This will give you a list of all files on your desktop.
If you're lucky, your contacts will all be listed sequentially. If that's the case, click on the first one to highlight it. Now hold down Shift and click on the last one. The whole list will highlight.
Now right-click on any of the highlighted objects (be sure that your cursor is right on a highlighted object when you do this, otherwise all the highlighting will disappear!). Then click Delete on the menu.
If your contacts are not listed sequentially, and have other files scattered amongst them, then you'll have to highlight them all individually. Hold down CTRL and click each one in turn - this will highlight them all. Then delete them as above. It'll be a bit more long-winded than the option above, but it still shouldn't take too long.