It will only show up on your desktop while it's loading music (i.e., while it's being used by iTunes) unless you enable disk use. There seems to be a bug in the software for the Shuffle 2G - mine shows up in iTunes with the correct icon but shows up on the desktop with a white iPod icon, unless I enable disk use. I restored the Shuffle and updated the software (version 1.0.2) but still get the white iPod icon when iTunes is using the Shuffle but the right icon when disk use is enabled. So, if you're not seeing the desktop icon when iTunes isn't using the Shuffle and you don't have disk use enabled, your Shuffle is probably working correctly (if it's not, mine isn't either). If, on the other hand, it's disappearing from the desktop while loading music, you probably should try to restore it and update the software through iTunes. Also, if you do restore it and then get a message that the disk can't be used, ignore the message and just load music onto the Shuffle's icon in iTunes. That, too, seems to be a bug in the software.
Claire