Right click an open area of the desktop, select Arrange Icons By and click
Show Desktop Icons. Checked, the icons show.
Unchecked, they disappear.
Fix broken desktop shortcuts and common system maintenance taskshttp://support.microsoft.com/mats/system_maintenance_for_windows/en-usTweakUI Icon Fix - Repairs the View 16 & 32 (Line 4)
http://www.kellys-korner-xp.com/xp_tweaks.htm To use the Regedit: Save the REG File to your hard disk. Double click it and
answer yes to the import prompt. REG files can be viewed in Notepad by right
clicking on the file and selecting Edit.
Also check here for Task Bar
Check task bar settings
You may know this already, but the Windows XP task bar has an option to hide unused icons. So the reason some icons are disappearing might be that you haven't used them for a long time and Windows has decided that they should be hidden. To check this option:
right-click the Taskbar
select Properties
clear the check box Hide inactive icons
If this isn't the cause of the problem, then Microsoft's recommendation is to select "Lock the taskbar". It didn't work for us, though.
Taskbar Repair Tool Plus!http://www.kellys-korner-xp.com/taskbarplus!.htm