Jerrg,
I have also had this problem. Arrange a few of your icons the way you want them. Dont do all of them if you have lots, just in case this doesnt work. Then move your cursor over an open area on your screen and right click. You should see a menu pop-up. Click on the refresh option.
This should set the location of the icons and remember them. Restart your computer and check that they are still in the same location. If this works, set all remaining icons the way you want them.
You will need to do this every time you add or relocate any icons. Hope this works for you as it does for me.