Set the following Registry keys through Group Policy to display the My Computer, My Documents, Internet Explorer and/or My Network Places icons on the desktops:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel

There will be four DWORD keys within there:
{208D2C60-3AEA-1069-A2D7-08002B30309D}    = My Network Places 
{20D04FE0-3AEA-1069-A2D8-08002B30309D}    = My Computer 
{450D8FBA-AD25-11D0-98A8-0800361B1103}    = My Documents 
{871C5380-42A0-1069-A2EA-08002B30309D}    = Internet Explorer 

Change the value of any of those keys to zero (0), and the next time a user logs on to the system, he/she will have the desired icon (the real one, not a shortcut!)

This solution works in Vista as well as XP, with the exception of the My Documents icon.