Desktop Expriencese in Windows 2012 R2 is disabled by default and needs to be installed for you to be able to show desktop icons. but there is a secret command that allows you to enable the feature without installing the Desktop Experience.

Just run this command line and you will be able to select the icons to show on your desktop

 "%Systemroot%\system32\rundll32.exe" shell32.dll,Control_RunDLL desk.cpl,,0 

This command works with Windows 10 as well.