Since this blog printed an article two years ago about using the Group Policy Editor to kill the desktop icons, it seemed worth adding that this feature, at some point, slipped into the right click context menu for the desktop. Just right click on the desktop. Under arrange icons, there is an entry to show/unshow icons. Not sure how long it's been there, whether it arrived at RTM or SP1. But it's there now.
This isn't the same as the GPE hack we described earlier, because the desktop is still alive. The right click menu is still there and you can turn them back on. But for many people, it achieves the result of decluttering. If security is what you were after, use GPE.
Better yet, use a better shell.