If you don't see much in the way of change, right-click again, select Active Desktop again to see the new items added to the pop-up menu:

• Customize My Desktop: Lets you add Internet elements to your Desktop.
• Add New Desktop Item: Lets you type in an Internet (or intranet) location to show in a window on your Desktop.
• Synchronize: Updates active Desktop items with their counterparts on the Internet.