Double-click a folder on your desktop. If there is no folder, create one by rightclicking anywhere on desktop.
Then click on the 'up' (folder with arrow pointing up) that will take you back to a folder containing all the desktop items.
Click the Edit tab and 'select all' and press the delete button. All the stuff on your desktop will be dumped in your recycle bin. 'My Computer" "Internet Explorer" and other Windows icons will stay if they have been ticked in your 'Display' folder will stay.