The way you do it in XP (I have not got Vista to hand) is as follows.
May be the same in Vista.
Display the "Start" menu and find the IE7 icon
With the mouse hovering over the IE7 entry hold down the RIGHT mouse button and while still held down drag it across to the dekstop.
Let go of mouse button and you should get a small menu with "Copy Here" on it.
Select "Copy Here" and the icon should apear on the desktop.
You can do this with ANY product or entry on the "Start" menu