So your OE icon stays on top of your screen saver?
But none of your other desktop icons?
I would try resetting your screen saver by turning it off (set to NONE /apply/OK/etc.) then reset it.
START | Control Panel | Display | Screensaver
If this does not work please describe the issue in more detail.
A screensaver should totally override the GUI/desktop etc.
Is the scrceensaver full screen?
What makes you think that this icon is not a shortcut?
Yet if you move your mouse to the icon the screensaver should cut out.
So the OE icon is part of the screensaver?