All right, it was simple, yet not too obvious. First: indeed, there is NO Desktop folder (at lest in my version of ubuntu, 14.04 with KDE). Second: when I tried to drug the folder or file of my choice from DOLPHIN window into the Desktop screen, the system simply refused to react. SOLUTION: click on a controlling "quarter glob" in the upper right corner of the Desktop screen, and then click at "Unlock widgets" in the menu. After that go back to Dolphin window, and from it drug whatever object you need into the desirable place on the Desktop screen (and at that choose "icon" mode out of those offered in the little menu). Then go back to the "quarter glob" and its menu, and click now on "Lock widgets". That's it. You can use now a new icon in a regular way.