I'd imagine that all the icons themselves have to be loaded into memory before you can view them. Sometimes, on a slow machine, you can see the icons being loaded. First, they'll start off as a white icon with a windows logo in it, then they'll be replaced by the normal icon picture. This won't really slow the machine down, however. Your background is probably taking up more memory than all the icons you'll be able to put on your desktop. That's my opinion anyway.