It all depends on what module your theme is using to display the desktop icons.

Are you still using the default theme? Austerity?

If you are then your using icondesk-0.66 and (to the best of my knowledge) this module doesn't support moving the desktop icons.

However, xDesktop does. I suggest you learn how to load modules, and change the *NetLoadModule line that references icondesk to xDesktop.

Then just read the docs for xDesktop and start going for it :)

Good luck :)