Hm... A good question...
I would say it doesn't. The reason is simple: It's true that the reference path to the desktop is longer (C:\Documents and Settings\YOURNAME\Desktop\foldername), but this doesn't affect access in a noticable way. Yes, Windoze does have to access the file system and "open" a couple of folders more, but this is a matter of microseconds and less. It is different with stuff directly on the desktop. All the stuff has to be updated. I DO remember my old 266MHz PC running a bit slower when I had my desktop full with icons, shortcuts and files.
An urban legend that actually IS true:
If your HDD is almost full with data, your PC gets slower. The reason is following: Due to fragmented data, the access is slower, because the reading head has to switch positions often which can take up to almost a milisecond. If you have a HDD of 100GB and have like 500MB free which you often write and delete, it will go slow and the empty sections are fragemented as well, so access is slower than usual again. It's not that bad, but it can become noticable, depending on the fragment rate.
Hence why it is a good idea to defragement the HDD once a month.