One of the new changes in Windows Vista is that each user has a 'Home' directory that is actually accessible and meant to be used. In XP and 2K, you had a hidden home directory that you weren't meant to muck around in. Some of the new features, like the Downloads directory, are only accessible through your Home directory, which is why it makes sense to put an icon for it right on the desktop.
To do this, click on the Start button then right-click on your User name. Select the 'Show on Desktop' option. Now your home directory icon should show up on your desktop. You can also right-click on the Desktop, select 'Personalize' from the menu, then 'Desktop Icons' on the left-hand pane. From this screen, you can simply check the box to add the icon to the desktop.