[im_not_1337]

Most likely this is some sort of bug and they are still there. Try these things and report back:
1)Check your recycle bin
2)Check your real desktop (they may just be off the screen) by auto arranging the icons (Rightclick > Arrange Icons > Auto Arrange, OR/And check your desktop by going to explorer (my computer) and going up untill you get to the desktop level and looking for the icons.
3)Reboot your computer

After that ask him these, when did this occur the second after he was done playing? Was it just shortcuts? Or everything on the desktop? Did he do anything different than normal? Were they there before he started playing? Is he sure he didn't accidentally drag them somewhere, like into the recycle bin or another folder? Have you had any malware problems in the past?

Anyway, there are some legit reasons this could happen but rare for this to happen but try all that and answer all those questions and we'll go from there.