By using Fences from Stardock
From the site:
Fences is a one-of-a-kind program,
allowing you to draw labeled shaded
areas on your desktop, which become
movable & resizable containers for
your desktop icons. These groups can
help bring organization and
consistency to your computer's
desktop, solving the "constant mess"
problem that has plagued the desktop
since its inception.
Fences also helps you finally
appreciate the wallpaper you have
hiding behind all that clutter. In
addition to its organizing features,
Fences offers a patent-pending
quick-hide feature. Double click your
desktop, and all your icons will fade
out. Double click again, and they'll
This image is for Vista, but it works on XP as well.