If you click on your start button, the explorer icon might be there. If it is, right click on it and the select send to, then desktop shortcut. If the icon is not there, just go into all programs and look for the explorer icon, then do the right click bit.
If you are using WIndows XP then go to START, click on MY COMPUTER, then on the drive that is (usually) set as LOCAL DRIVE.
Using the file explorer that then appears go to the folder PROGRAM FILES, then the INTERNET EXPLORER folder. The file IEXPLORE.EXE should be displayed so RIGHT-CLICK on it and select the SEND TO option from the presented menu and select DESKTOP from the submenu that is shown.