This is another one that is designed by Microsoft not to do anymore, but can be "hacked" to work.
According to Microsoft: http://support.microsoft.com/kb/945402
Important: Windows 7 no longer supports the ability to modify the registry to get the special Internet Explorer icon to appear on your desktop. This change was made to ensure Internet Explorer could be removed easily for compliance reasons. The only way to add the Internet Explorer icon to the desktop in Windows 7 is to create a shortcut. To create a shortcut to Internet Explorer on your desktop, follow these steps:
However, you can registry "hack" it by checking this out:
I have tried the reg files from http://www.sevenforums.com/tutorials/167811-internet-explorer-desktop-icon-create-windows-7-a.html but its not giving the IE 32-bit icon in the desktop. earlier I was using another reg file to get the 64-bit IE icon in windows 7 64-bit O/S desktop. but Now Ihave removed the IE 64-bit Icon from desktop I was trying to get the 32-bit IE icon in the Windows 7 Desktop, but I couldnt able to get it.
Anyway I Go through the Microsoft: http://support.microsoft.com/kb/945402 which you have given abd Let you know the result.