I've had some confusion like this with past versions of windows and rebooting straightened it out.
Do the programs open as they should?
When you right click on the incons and select properties and click on change icons... what's the path show?
Did you do a clean install or update Vista?
Run Windows Explorer and go to the desktop folder in your user profile and see if they are also confused there.. Flip through your "change view" menu.
Any other info you can profide?