Sounds like a case of SubSeven. Do you have updated virusdefinitions??
SubSeven is a trojan type of program. It can be integrated into .exe files (hidden) so that when you run the file, it set's it self up on your computer. Then when you are on the net (or lan) someone can connect to your computer and do whatever he want's i.e. make all your icons dissapear from the desctop, the mouse dissapear, the startbutton dissapear, control the mouse, get sent the image on your screen and click on it to control it, send text to whatever active window, mess with your filesystem and so on...
If this is the case, you neet to update/install a nice virus program like Norton Antivirus or McCaffe (that speller correctly?) Antivirus.
Maby a friend is doing a prank on you.