The desktop background is called the pinboard. To enable turn it on and enable desktop-icons, use this command:
$ rox --pinboard Default
You can now drag files, directories and applications onto the pinboard to create short-cuts to them.
You cannot actually save things to the pinboard; you can only create links to things that exist in directories elsewhere.
If you use ROX-Session, then a pinboard will be set up for you on login automatically.