The reason is that this is the MS Office forum, not the MS Windows forum.

The icon ought to be in this folder
C:\Documents and Settings\your name\Application Data\Microsoft\Internet
Explorer\Quick Launch

So if you unchecked the QuickLaunch toolbar, you won't see it anymore.
If, however, you deleted the icon from the QuickLaunch bar, you can restore
with the help of this little program:

http://www.dougknox.com/xp/utils/xp_showdesktop.htm

Or if you'd like to do it yourself, here's how:

http://www.tacktech.com/display.cfm?ttid=332

And finally, here's the long version as written by MS:

http://support.microsoft.com/Default.aspx?kbid=190355

As you can tell, search engines are your friend. :)

Good luck.