Well it could be that the icon is being displayed off the desktop. Normally I don't think this would happen, but I have noticed a similar thing when downloading with Firefox.
The default save location is the desktop. Some of the icons were HALF off the desktop on the left hand edge.
Try right-clicking on the desktop and selecting 'Clean up by name'. This should resort the icons by name and might bring them back into view. Of course, it might move more icons off