Had the same a while back so I googled and disovered that it was a known problem with XP or XP Pro, I run XP Pro. Various remedies were suggested but I found that allowing my system to start up in it's own time was a simple solution, ie switch on leave alone for a few minutes to settle after start up before starting any apps and all my Icons appeared. If I was to dive in and start up any apps as the PC was going through its start up I would lose Icons. It's a simple resource issue which I fixed for good by getting rid of a load of crap that was activating with the start up menu.