One of the new changes in Windows Vista is that each user has a "Home" directory that is actually accessible and meant to be used. In XP and 2k, you had a hidden home directory that you weren't meant to muck around in.
Some of the new features, like the Downloads directory, are only accessible through your Home directory, which is why it makes sense to put an icon for it right on the desktop.
To do this, click the Start button, and then right click on your User name. Choose the Show on Desktop option:
Now your home directory icon should show up on your desktop: