A question for you -- do these shortcuts on your Windows desktop disappear while the VM is running, or only when you reboot the VM?
As unlikely as this is, it is possible that your VM is configured to boot every time from a snapshot -- that way every time you restart your VM, it will be exactly as it was the time the snapshot was saved.
Also, do you ever find that actual data files are being deleted from your Windows desktop, or is it only ever the shortcuts? This could also be because of a "boot from snapshot" kind of configuration.
There are also various viruses that might exhibit similar behaviour. Is there any possibility that your Windows VM might be infected with something?
Is this a personal VM on a personal computer, or is this part of a VPN or other corporate network, where your IT department might have some Windows management policy in place?
And when you say "desktop icons", do you mean that the files are still visible on you desktop, but they have some sort of generic "File" icon instead of the expected icon (i.e., only the icons are changing, but the files are still there)? And do you mean files on the desktop itself, or files in the "Quick Launch" area on the left side of the Taskbar? Or both?
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I know this is a lot of questions, but your post was very thin on detail. In any technical support situation, the more detail you can give, the better.
Cheers,