Do you only see your background image and wallpaper?
Are all your desktop icons missing and you cannot see your Taskbar in the bottom of the screen or are just the icons missing and you can see the Taskbar in the bottom?
First check the simple things. Right click an open area on your desktop, choose Arrange Icons By, and be sure the Show Desktop Icons option has a checkmark next to it. That will work if you are only missing desktop icons but still see the Start button and Taskbar. If you are also missing the Start button and Task Bar, that is not your problem.
If you only see your background wallpaper image and do not see any desktop icons and no Start button or Taskbar, this usually means that the program explorer.exe is not running (and it needs to be running) or the explorer.exe program is afflicted. A good way to think about it for the moment is that explorer.exe process "is" your desktop.
If this is the case there is generally malicious software afoot.
What is your system make and model?
What is your XP version and Service Pack?
Do you have a genuine bootable XP installation CD that is the same Servie Pack as your installed Service Pack (this is not the same as any Recovery CDs that came with your system)?
Describe your current antivirus and anti malware situation: McAfee, Symantec, Norton, Spybot, AVG, Avira!, MSE, Panda, Trend Micro, CA, Defender, ZoneAlarm, PC Tools, Comodo, etc.
Sometimes your anti malware program will quarantine (and in effect delete) your explorer.exe file (or other critical XP system files) if it thinks that the file is infected. The file may really be infected, but you can find out for sure and then reconsider your anti malware options.
First, you need to get your desktop working so you have some maneuvering room, then you can resolve your potential malware issue.
From your background image, press Ctrl-Alt-Delete and open Task Manager.
Look at the Processes tab and if the explorer.exe Process is not running, launch it as follows:
From Task Manager, click File, New Task (Run...) and in the Open box enter:
%windir%\explorer.exe
Click OK and see if you get your desktop back. If you get an error, we need to know what it says.
If explorer.exe is already running in the Processes tab, it is likely the object of the affliction and may need to be replaced (which is not difficult).
If you see that the explorer.exe process is already running in Task Manager, highlight the explorer.exe process then click the End Process button to terminate it, and launch a new explorer.exe process as indicated above.
If things look okay now, your system is still not fixed, but it should be usable enough so now you can fix it. Of course you still need to fix the problem so you don't have to do that every time you restart your system.
I would start with these scans:
Perform some scans for malicious software first, then when these scans run clean, fix any remaining issues:
No matter what you are using for malicious software protection do the following:
Download, install, update and do a quick scan with these free malware detection programs:
Malwarebytes (MBAM): http://www.malwarebytes.org/products/malwarebytes_free
SUPERAntiSpyware: (SAS): http://www.superantispyware.com/
SAS will probably report a bunch of tracking cookies and you can just let it delete them.
Do a full scan once in a while when you have more time (perhaps hours).
They can be uninstalled later if desired.
When the scans run clean, reboot and then troubleshoot any remaining issues.
Please report back with your system information and your results if you need additional help.