I know the program you speak of but I don't know off-hand where it is.
I do however know of two other ways to do what you want.
One is to use Active Desktop and then have it set to hide desktop icons.
The other, which I prefer due to the fact I despise Active Desktop, is to disable the desktop. The downside is that you can't right click on the desktop to change settings, you have to go though Control Panel->Display (although you can put a shortcut in the Start Menu or taskbar) and you can't drag items out to the desktop. I never drag items to the desktop anyway because I'm too much of a neat freak, so it never bothers me.
To disable the desktop fire up Regedit and navigate to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Add a REG_DWORD named NoDesktop and give it a value of 1.
You'll need to Logoff and back on for this to take effect.