I've never seen such a problem, so all I have to offer are guesses.
Please create a system restore point before trying out the following ideas, just in case.
Right-click on the desktop, choose Personalize, then Change desktop icons, and then click on Restore Default, then logout & login (or reboot).
Second try :
Rename the file
IconCache.db located in
C:\Documents and Settings\User Name\Local Settings\Application Data and reboot. It will get automatically rebuilt.
Download the Windows 7 tweaking program Ultimate Windows Tweaker, and see if it helps you find some abnormality.