The location of the Desktop varies between different versions of Windows, and in a corporate environment can be moved around by the network administrator. On NT derivatives, you can use the value of the USERPROFILE environment variable to find where the desktop might be:
C-x C-f $USERPROFILE/Desktop
If this doesn't work, then you probably have to forgo the keyboard just this once, and either drag a file onto the Emacs frame from the desktop, or use the file dialog (displayed when you use the toolbar or menu by default). Once you have a file from the Desktop inside Emacs, C-x C-f will quickly reveal where your desktop is kept.