I have a dutch version of XP, so forgive me if I get some of the naming wrong here:
Right click on your desktop,
Left click on properties,
Left click on the Desktop tab (second tab),
left click on the button 'Adjust desktop' (the button below where you get to chose your backgrounds)
And that's it.
You're there. Just click on one of those icons and use the 'Other pictogram' button (first one on the left) to change the desktop icon.