This is simplest windows xp trick only. Let you first know what explorer.exe.
Now Let us see the process of explore.exe in practical. Follow these steps
Now see what happen to your desktop. It just showing nothing rather than the task manager. From above result, you can conclude that explorer is maintaining the display of desktop and performing the display of file manager.
Do not worry , you can start the process of explorer.exe in manual.
now you can see, desktop with taskabar and icons and file manager.