An icon is an icon, it uses up whatever RAM the OS needs to store the image for display.
Whether it uses up more RAM to have large amounts of data located on the desktop, though, I dunno. I've always considered it a bad thing to store large numbers of mult-gigabyte files on my desktop, and it's always seemed a little slower when I did that. I suppose you'd have to either compare memory usage on a machine both ways, or ask Microsoft.