You mean the shortcut icon? Control Panel>Display>Desktop>Customize
button.
You'll see where you can choose which system icons to have on the Desktop.
If IE isn't there (and since we're at Service Pack 3 now and I don't
remember if the option for IE is there in SP2), you can also navigate to
IE's folder in Program Files and find iexplore.exe. Right-click it and
drag
to the Desktop. When you let go of the right mouse button, you'll get a
menu from which you can left-click on "Create Shortcut here".
Don't forget to do all your updates - Service Pack 3 and subsequent
Windows
Updates, IE 7 and its updates, etc.
Malke