My friend had the same problem --no desktop, no icons when windows boots. However, his OS is Windows 2000 Pro, and that laptop autologons everytime it boots.

I helped him to fix it (problem solved):

-hit Ctrl+Shift+ESC to get to Task Manager, hit Processes tab, click explerer.exe and click End Task. Click File menu->New Task (run): type explorer, hit Enter key. Desktop/icons/start menu appear.
-Remove all unnecessary software run at startup via registry (just a caution - in case software loads at boot causes that issues).
-Install and Run Adaware 6, CWShredder, Spybot Search & Destroy. Download the virus MyDoom Removal tools..(But when I reboot the PC, problem persists --still no icons/start menu/desktop..The next step is critical).
-Create another acount with Administrator rights.
-Copy all data (My documents, desktop, favorites, application data..) from the current user to the new user I've created..
-Modify the Autologon to point to the new user I've created.
-Logoff, then logon with new user (so that last username is the new user I've created. Otherwise, autologon may not run well).
-Restart the PC.

Hope it helps,

Time4Sec