You can delete them or move them to a folder. You can also right-click an empty spot on the desktop and select properties. Click on the "desktop" tab and click the customize desktop button. There is a checkbox there for "run the desktop cleanup wizard every 60 days".There is also a "clean desktop now" button.
How do I hide inactive icons in windows XP?
Solution did not work.
How does moving them to a folder not work? Create a folder on your desktop and put all icons/shortcuts into that folder.