There are several elaborate tutorials on DesktopX. You will get some superb tutorials here...
Romanda's page,
sViz's page and
wiki Firstly, you need to have images in png or jpg. You can use them to build a dx object by switching to Dxbuilder from dx's systray icon. You can create relationships like grouping and parent-child between different objects, use scripts if needed, make special objects for tasbar, systray and use plugins to make a nice desktop. You can then save the whole setup as desktop or dxtheme. Its all in short. You need to play with Dxbulder, spend time on editing themes and take a look at tutorials to understand this.