What XCorvis said. Technically speaking, nothing that's on your desktop should harm your computer if you delete it. Most of the things on your desktop are probably shortcuts, and like the name says they're just shortcuts to the actual program. Deleting the shortcut won't hurt the program, and you probably have another shortcut in your start menu for the same program. Even if you end up deleting the only shortcut to that program you can always find the actual program on your hard drive, right-click on it and select Send To Desktop to recreate the shortcut.
And things that aren't shortcuts on your desktop are probably documents created by you. I imagine that you'll know which of those are important and which aren't. If you aren't sure, open them up to find out.
If you do delete something from your desktop that you find out later you shouldn't have deleted you can always go into your recycle bin and pull it back out again. Things aren't permanently deleted unless you empty your recycle bin.