Did you drag the accessories sound recorder icon off of the entertainment list to the desk?
First check the recycle bin to see if someone dragged it there where you can restore it. The
best way to create a desktop icon is not to drag a default system link directly but to create
a second shortcut to the desktop. If it gets deleted you simply create a new one after. Take
a quick look in the entertainment area of accessories if this was an extra shortcut created by the method described here. If it was a software installed you would have to browse the
installation folder for the executable to create another by right clicking on it and then drag
the new shortcut onto the desktop from the explorers window.