Yet another way (only if you have XP Pro):
Start > Run > type:
gpedit.msc > press 'Enter' > expand "User Configuration" in left pane > expand "Administrative Templates" in left pane > highlight "Desktop" > double-click "Remove recycle bin from desktop" > select "Enable" > click "Apply".
Close the editor > hit "F5" to refresh the desktop and remove the recycle bin.
Replace the recycle bin by returning to the group policy editor and selecting either "Disable" or "Not Configured" (which is the default setting).