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.
To prevent the task from running you need to disable the task in the task schedular: start-programs-accessories-system tools-task scheduler
Expand the tree in the left hand pane until you get to Task Scheduler Library-Microsoft-Windows-Diagnosis.
In the right hand pane, right click the task named Scheduled and click Disable.