Is that true that if you keep bulky files on the Desktop then Windows slow down?

Well, if you have a roaming (network) profile that includes your desktop it could make logon/logoff very painful...

If you have alot of shortcuts on your desktop it can impact performance on start up. This is mainly from offline/network shortcuts where the computer has to run off to all the places they link to, to check if they still exist and cache them so that when you want to use them they appear to be faster to access than they really are. Shortcuts that don't resolve will then try to resolve each time you drag items/files over the top of them, even if you don't drop them on that shortcut, giving you a small amount of system lag each time.

Actually if you have a very large zipfile on the desktop, it can cause a lot of speed issues. Personal experience: Prevent Explorer from Freezing With Large Zip Files on Vista