From LedHed's Wiki
WinXP caches desktop icons. If the cache gets corrupted, the desktop shortcuts may appear with a generic icon.
To restore the icons go to:
Display Properties -> Appearance -> Advanced.
From the "Item" pulldown choose Icon
Then change the size, hit OK
Now back at the Appearance tab click Apply
This should cause windows to re-cache the icons.
If you want to restore the icons to their original size just go back and set the Icon Size to its original value.