ah how sweet

The way i do it is right click on the desktop
go down to New / then folder click that and just put a short name to it.
Then just drag you icons/files to the folder and it will tidy the desktop up for you.

You can then open that and make folders the same way inside of that folder, if you want to organize it more.

you can also sort the files by going to View - go down to - Arrange Icons by - name , size, type modified ..


I have only 3 folder icons on my desktop - Downloads, Misc and shared pics.

update-
mrsD's link had that tip on #4
and for moving a lot of files/icons tip #3