Unlike Windows Vista, Windows 7 no longer supports modifying the registry, to allow display of the special Internet Explorer icon on the Windows 7 desktop.
Add IE icon to Windows 7 desktop
This change was apparently made to ensure that Internet Explorer 8 could be removed easily for compliance reasons.
So the only way to add the Internet Explorer icon to the desktop in Windows 7 is to create a shortcut as follows:
Open Start menu and locate the Internet Explorer icon. Drag it to your desktop.
Alternatively, open C:\Program Files\Internet Explorer and locate iexplore file. Right click on it > Send to > Desktop. This will create a shortcut on the desktop.
Windows Vista users can however add the special icon to their desktop. To do so simply download this registry fix and double click on it to add it to your registry.
Finally, refresh your desktop.