Windows and Linux store the Desktop in different locations.  Fortunately you have the option of linking your desktops if you want.  The easiest way to do that is to login to a Linux computer, copy all your files from your Linux Desktop to your Windows Desktop, replace your Linux Desktop with a link to your Windows Desktop, and re-login to see the changes.  Here's how to do it:

[Login to a Linux Computer]
mv -i ~/Desktop/* ~/.windows/Desktop/
rm -r ~/Desktop/
ln -s ~/.windows/Desktop ~/Desktop