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The standard Windows desktop is a pretty desolate corporate landscape that inspires err... not much, which I suppose is the idea. A neutral style means no one can complain too much about it. With Windows XP a nicer, fluffy bunny rabbits interface has been introduced but it's still the same on everyones machine. Mac desktops however are a whole lot nicer looking and users have long been able to modify their icons as part of the OS, but as we all know Macs are shit, sorry "good for print" (Joke honest - I'm just jealous).
If you have a PC things haven't been that easy. XP has introduced more control but to really go to town you'll need a program like Microangelo's "On Display" (check out universal sources below for links), this enables you to change folder icons, animate icons, change share and shortcut overlays and my personal favourite transparent desktop text (sad I know). If your feeling a bit strange then editing the registry and creating desktop.ini files will do the same job but I wouldn't bother.
There is a full spectrum of icon sites to download from; 99% of them free and 50% worth visting. Raspage is a great starting point with some truly strange and comical icons and desktops. Mozco !gararsh! is the home page of a Japanese designer who has some beautifully made icons of old Macs and various household icons. Dotico has some really cool character based selections including: Aeon Flux, Ghost in the Shell and M.A.S.K amongst others. For general icon info and more links check out the Icon Factory.
Skining programs is another area that is worth looking into in terms of changing your outlook. Netscape 6 is actually a pretty decent browser these days and has a greatly improved interface over IE. Neoplanet is the one for true variation with over 500 different skins for it's IE based browser. Winamp is probaly the best music audio player for the PC and has a massive range of skins available incuding several extremely badly made Jennifer Aniston based designs - though I'm sure there are Jennifer Love-Hewitt ones out there for Party of Five Fans.