Sadly, there is no straightforward command you can use to recover them, but well, there are three ways, really, that you can get your icons back, depending on which ones were lost, that you are referring to. for this, I'm assuming you're running a more recent version of Windows.
----- For Windows XP ------
1) for recently deleted icons- check your Recycle bin, they could still be there.
2)for system-installed icons, such as My Computer, and Internet Explorer- you can recover these by going into your Display Properties (Start -> Control Panel -> Display). Select the Desktop tab, and click on Customize Desktop. Make sure the "General" tab is selected, then, under the "Desktop icons" section, tick off the icons you want to restore. click on "Ok" when you're finished, and Presto! those icons are up on your screen.
3)If the above two options don't work, you may have to add them manually ( a pain, I know). To add a shortcut in this fashion, right-click anywhere on the desktop, and select New -> Shortcut. you will have another window appear on your screen, asking you where the file you are making a shortcut to is located, and what you want to call it. follow the steps, and when you're finished, you should have a working icon. (another option would be to reinstall the software that made the icons, but that's also a pain in itself.).
----for windows vista ----
1) check the Recycle Bin (same procedure as Windows Xp, although, if your recycle bin option is deleted, then you have a problem that can be solved by using #2)
2) For system-installed shortcuts- follow This excellent tutorial
3)Manually installing shortcuts- same as for XP.