you can use
Desktops to provide multiple desktops. I can't recall if it actually changes desktop shortcuts, though :/
Also I think you could do this in Windows 98SE or later, since that is when they added Multi monitor support.
Fences is another good program that let's you organize desktop shortcuts, but it's no longer free. I was using it until it offered an upgrade, so I thought "oh cool a new update" and said yes, it installed it, and then complained about being a trial. I was not impressed and remove it entirely, and won't even use the old version if they are going to employ tactics like that.