the short answer is: i don't know. what i did to get desktop icons, and i really recomend it, is i installed dfm (
http://www.kaisersite.de/dfm/ ) which provides the desktop icons and a file manager. the file manager isn't as good as the rox one, but it has one or two other features so what i will be doing is running xfce, and using the dfm desktop icons, and using rox as the file manager only, with a link to dfm in my XFce toolbar.
basically that's just the way i like it set up, as far as i can see though the panel along the side/top/bottom of the screen is what rox refers to as the "desktop", have a look at man rox and rox --help (which seems to only work if you go to the rox installation directory and do Appstart --help actually) for more info, i've only used rox for a couple of hours so i am not too up on how it all works.
note: dfm can use icons but it can only use xpm ones, not png ones seemingly. i haven't tried it with xbm and so on, but you know, i'm a busy guy.
i have a tgz that i made (and will have to remake now) that installs all my favourite icons in /usr/share/icons including all the ones from lycoris desktop 3, mandrake 9 and red hat 8, so what i did was just create /usr/share/icons/xpm and copied all the .xpm files from /usr/share/icons/* and /usr/share/pixmaps into there. also the ones from /usr/share/xfce/icons and /usr/share/dfm/icons (i think) it's easier to change your desktop icons if you know you have one directory where all the icons will work, specially since dfm doesn't seem to be able to give you image previews in the file manager window.
incidentally, this isn't slackware specific, in case any non slack people are interested in this.