I find the Windows XP popup balloon asking to cleanup unused icons on the desktop very annoying. And if you too feel the same way, there's a way to disable it.
Go to desktop properties by right clicking on the desktop and select the Desktop tab (the one where you probably change your wallpapers). Click on the Customize Desktop button. In the new dialog that comes up, uncheck the option "Run Desktop Cleanup Wizard every 60 days" and click OK . That's it. You just go rid of that nagging balloon.