if you are using XFCE:
right click desktop->desktop property it will open desktop preferences window(you can also access it from setup manager). click behavior tab, choose minimized application icons in desktop icons section.
if you are using FVWM:
it takes more trouble, be could be much fancy. I have a theme in my website
. it not only minimized to desktop, the icon will be the window screen capture.
if you are using gnome or kde:
IDK(I Don't Know)