Files deleted from desktop don't go to recycle bin
This is the expected behavior when deleting files on network shares, including redirected My Documents / Desktop etc.
However, if you have Volume Shadow Copies enabled on the volume where the share resides, the deleted files can be recovered from the last snapshot. Of course if the file was created or modified since the last snapshot was taken, then it won't be possible to recover the version of the file that was deleted.
Take a look here for some info on setting up Shadow Copies.
Working with the Windows Server 2003 Volume Shadow Copy Service.