If you create desktop shortcuts to removable storage places such as NAS the icons will disappear from time to time because Windows 7 has a built in task schedule to clean up broken and unused links.
1) To prevent the task from running you need to disable the task in the task schedular: start-programs-accessories-system tools-task scheduler
2) Expand the tree in the left hand pane until you get to Task Scheduler Library-Microsoft-Windows-Diagnosis.
3) In the right hand pane, right click the task named Scheduled and click Disable.
Original Article: http://answers.microsoft.com/en-us/windows/forum/windows_7-desktop/desktop-shortcuts-to-items-on-network-drives/94eddb27-342b-40fc-9ad4-677ff4ee8ebe