Desktop Files on Server?

I have no idea what has happend but its become quite a problem.

A few days ago, I used remote desktop to connect to our server (terminal
services) and upon connecting I noticed all the icons/files from my local
machine's desktop were now on my desktop of the server. I minimize the
session to see that the icons/files that I had on the server desktop are now
on my local machine's desktop. As if they were now mirrored.

Not thinking too much about it, I went back on the server and deleted the
files so that only my server desktop items remained. Upon logging off and
returning to my local machine I noticed now that my normal desktop icons were
gone from my local machine. I looked everywhere for them but they were
completely gone.

I have heard of sharing Printers and Drives with remote desktop, and those
settings can be turned on and off. But I do not see anything about my desktop.

Specs:
Local Machine: Windows Vista Buisness
Server: Windows 2003 SBS R2
Group Policy: Desktop and My Documents stored on server