Open Start Menu
Goto Computer
Then under Favorites
Select Desktop
You should see your login ID (This would be the folder for all your settings)
Open this folder and select "Desktop"
You should see all your images from there.
If this is not the correct location let me know and I will try again.
If the images are all you have on your desktop press (Ctrl + A)
That will select all the items in that folder.
If you have more than the images on desktop
Scroll the folder looking for the links you don't want to remove.
Hold the Ctrl key while clicking on the links you don't want removed.
Pressing "Delete" will then remove them.