If XP, right-click the bottom taskbar > select Toolbars > Quick Launch. Now you would have enabled the Quick Launch toolbar (visible to the right of the Start button at extreme left). Now simply drag & drop the desktop icons you need into this area.
If it's Vista / Win7, follow this guide click here to achieve the same. G
I prefer the Quick Launch method as one doesn't lose too much space on the bottom taskbar - about an inch, then subsequent icons are 'hidden' but still very accessible without having to 'Show Desktop'. G