You can move them to the "Quick Launch" area. Just left-click that icon, hold it then drag it into the "Quick Launch" area.
You can "enable" the Quick Launch by right-click in the task bar area, select "Toolbars" then "Quick Launch. The Quick Launch area should be appeared right next to the "Start" button.
I heard of program that enables you to move all of your desktop icons to the toolbar so you can have a completely clean screen if you choose to have the toolbar on autohide. Does anybody know what this is called or where I can get it?