There isn't any way of actually "storing" files on the desktop - they are stored on your hard drive, but you can link to them from the desktop.
Things will start to slow down, though, if your hard drive is getting near the limit of its capacity. Look at "properties" under the C drive icon in My Computer - if your hard drive is more than about two-thirds full it may be time to look at how you can free up some space. As far as I know that is the only way in which stored data can make your system run more slowly.
Shortcuts will take maximum of 1kb data size
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