How to show the My Computer icon on Windows Server 2012 Desktop

Launch Server Manager

Click Add Roles and Features

Click Next on EVERY SCREEN until you get to the Features section. Check off Desktop Experience under User Interfaces and Infrastructure

Press Next

Click Install

Close the wizard after the installation completes

You must Restart the computer for the installation to complete

When you right click the desktop you will now see a Personalize option in the menu

Select Change Desktop Icons

Select the icons you would like to see on the desktop and press OK

You will now see the icons on your desktop