I know what you are thinking.
Can’t I just make a shortcut?
Of course you’re free to.
If the key does not exist, then create a new 32-bit DWORD value with the same name.
To remove the icon, you could set the value to 1 instead.
Download Registry Hack
Even easier, you could just use one of the registry files I’ve prepared.
Just unzip and double-click to enter into the registry.
Add IE Icon to Desktop
Remove IE Icon from Desktop
