Hello: probably you didn't finish deleting all the shortcuts on your desktop...
so you probably only deleted what you saw that can be displayed...
every time you restart the other photos just moves down..
in windows xp
go to local computer, c drive, documents and settings, your username,
desktop (here you should see all the files on your desktop and you can just do a mass delete)
in windows vista,
start menu, computer, c drive, users, your username, desktop and the same thing in xp..
just select the files and delete
best of luck
later,G