Well, if you install Vector Linux 4.0, and use Xfce, you will have desktop icons. Another guy on the Vector forum (nicknamed: bin) gave me these instructions:
"Start MC (Midnite Commander)
On the left hand side go to your home and open the .dfmdesk folder.
On the right hand side navigate to the binary or whatever you want to create an icon for and make sure it's highlighted
Press F9, File, Symlink. This will allow you to change the name of the symlink to something more appropriate if you want. Press enter and after a few moments a new link will appear with a default icon. Right click on it, go to options and change the icon as reqired."
This method works fine, and doesn't require the prior presence of icons to work from.