Okay, you must first know I don't want to be the ONLY one posting tips.

Here's what I just thought:
Arrange your desktop icons in a basic shape, like a rectangle or something. Screenie it into something more advanced then paint, for example, Photoshop, and make a shape around your icons, of the color of the Windows Theme you're using. Make it look cool: This is easy on PS, as you can use layer properties to give it a shadow, transparency, a gradient, maybe, and other neat stuff. Make sure this pretty thing is in another layer. Now, delete the original screenie layer, open your favorite wallpaper, copy-paste it into a layer under the cool thing's layer, and save as PNG. Set as desktop background, and you have a little cool border or space for your shortcuts.
WARNING. This method can be very timewasting if you change your icons very often. If anyone can find a way to make something of this type that doesn't need to be remade so often, tell it.