Most geeks have done this at some point in their career, because it’s both simple and irritating, especially for somebody who isn’t expecting it. The basic principle works one of a couple of ways:

Take a screenshot of the desktop with the icons where they are, set it as the wallpaper, and then hide the desktop icons.
Move the desktop icons around, or create bogus icons, take a screenshot, and then set it as the wallpaper. This way some icons work, and some don’t.
Take the screenshot of the desktop, and then hide the taskbar below the bottom of the screen before setting the wallpaper (this only works on XP). Even better: flip the image upside down before doing it.

The result looks something like the image above, assuming you followed the second idea and created a folder on the desktop that they’d be sure to notice right away. They’ll keep clicking, but nothing will happen.

Bonus? Combine this with the shutdown shortcut so when they do figure it out and try and open the folder… it’ll give them the shutdown prank too!