Keep your Desktop clean: Saving all of your documents and programs to your desktop may be convenient, but it can really slow down your computer. When you save various things, try to save them in the appropriate areas on your computer to help enhance the speed of your computer. (i.e.: NOT ON YOUR DESKTOP)
Also, Make sure that you don't have a large photo or other high pixel image on for your background.
Re-computing which parts of the image needed to be displayed every time a window moved or changed size is a lot harder if you're dealing with a full-sized image rather than something like a 64x64 pattern component.
Even better, use a full color or no background; you'll see the difference immediately for slower computers.
If you don't want to get rid of the background image, then you might want to try optimizing it a bit in an image program.
Make it the same size as your screen resolution, (this way the OS does not need to scale it)2.
Reduce the color count (if it is a grayscale image, for example, save it as a 256-color image, rather than a 32 million color image)3.
Get rid of transparencies...
If you can't stand moving all of your icons, or going through them, then you can put it all into one folder on the desktop, so it's easily found. I just make a folder named "all", and set all downloads to go to that folder. That way you only have to load one icon, and it's all still there!