Download and install TweakUI for Windows XP,
www.microsoft.com/windowsxp/pro/downloads/powertoys.asp
You'll find this setting in the Desktop section.
Or if you prefer to do it manually, click Start, Run and enter REGEDIT Go to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons
If you're using the new style Start Menu, highlight the NewStartPanel subkey. Right click in a blank area of the right pane, select New, DWord value and name it:
{645FF040-5081-101B-9F08-00AA002F954E}
including the "braces". Double click the value you just created and set it to 1.
If you're using the Classic Start Menu, highlight the HideDesktopIcons subkey, select Edit, New, Key and name it ClassicStartMenu. Highlight the key you just created and follow the steps above for creating the value for the Recycle Bin. Log off/log on after making the change.