Windows

This sounds like a problem with System Policies. Fire up Poledit (Administrative Tools) see if there is a file called NTCONFIG.pol in the Netlogon share winnt\system32\repl\import\scripts.
My suspicion is that there is a policy for Default User tohide all objects on the desktop. Check the Shell Restriction, Hide all objects, if I am correct set the box to pure white. Log of twice and see if you get the desktop.

In addition to the answer from guy@computerperformance.co.uk, check the SP6 version you have installed. There is no visible check for it as both SP6 and SP6A appear as SP6 when you run winmsd.exe. If you are not sure which you have installed download and install SP6A from Microsoft. Microsoft released and promptly withdrew the original SP6 due to many problems (most of which have never been fully documented) and it has been replaced with SP6A. It may well be that you have the original installed and this is one of the many problems caused by it.