This step-by-step article describes how to disable the Automatic Desktop Cleanup feature in Windows XP.
Windows XP includes the Desktop Cleanup Wizard, which keeps track of your usage of the icons on your desktop and periodically offers to remove the icons you have not recently used. Some of the icons are on the desktop because you created them to provide a shortcut method of opening a program or document. Some icons may be on the desktop because a software installation program placed them there.
The Desktop Cleanup Wizard runs every 60 days. It checks the last accessed date of the desktop shortcuts and displays a list of all the icons, with a check mark next to the name of each icon that has not been used in 60 days. You can deselect any icon you want to keep on the desktop, and the Wizard removes the selected icons.
The icons are not deleted, they are moved to a folder and you can put them back on the desktop if you want. The folder that is automatically created the first time the Wizard removes icons is C:\Documents and Settings\UserName\Desktop\Unused Desktop Shortcuts.
NOTE: Windows XP puts a shortcut to this folder on the desktop.