What do you need icons on your desktop for?
One of the reasons IceWM is so fast is you're not bogged down with a lot of extras you really don't need, (like desktop icons.) Everything you'll ever need can be programmed right there in your menu, just a right click away. You can use the Mandrake menu editor to set up your IceWM menu the way you want, but it was always a little squirrelly in Mdk 9. They may have gotten it fixed. To configure IceWM, I use
Icecc, which can do everything from changing the background to setting up your menu. The guy who created it, Vadim Khohlov is really nice and helpful, and appreciates feedback from users, (when worded courteously).
As far as menu entries go, Its real easy to do that manually. using your favorite editor, just go to:
~/.icewm/menu
If the icewm menu is not there yet, edit one entry using the Mandrake menu editor, or icecc, and it will create ~/home/.icewm/menu for you.
Here's a
screenshot of my first IceWM DE way back when I was using Mandrake 9.