If you were messing around ONLY with the desktop, you still have the program on your computer. The icons on your desktop are just shortcuts.
Now, I don't know what system you're using (Mac? Windows? XP?) but I'll assume you have Windows XP for my explanation as to how to get it back on your desktop.
1) Click on Start in the lower right hand corner;
2) Go to My Computer;
3) Click on Local Disk C:
4) Find a folder called "Program Files"
5) Within Program Files find a folder called "Internet Explorer"
6) Right-click on the program called "IEXPLORE";
7) select "create shortcut"
8) and drag your shortcut to the desktop.
Hope this helps. In the case that it has been totally removed from your computer just Google "Internet Explorer" site:microsoft.com to get the download link.