There are two different ways to accomplish what you are looking for. The first is to redirect the desktop folder to a file server on your network. By redirecting the desktop folder, the users desktop will be available to them wherever they log in. However, in this case, the files will not be copied down locally to every desktop they log in to. Jeremy covers redirected folders quite thoroughly in Chapter 10 of his Group Policy book.
If you truly want the files copied down locally, then the answer you seek is called Roaming Profiles. Microsoft has some basic documentation on Roaming Profiles here, but Jeremy has documented the heck out of how they actually work, live, and breathe in Chapter 9 of his Group Policy book.