I discovered that it is not, and will no longer, be possible to add the IE icon to the Windows desktop, as of Windows 7! Detailed in KB article KB945402 Microsoft decided to completely remove the functionality that put IE on the desktop as a proper desktop item – as opposed to a simple shortcut.
I guess it saves them from being sued again over IE being a part of Windows. Annoying though, damned EU courts, it’s all their fault. Oh well…