A few of my icons, not most of them, all of a sudden have changed their appearance. I have Window XP Professional.

Some have become faded, some have for example the icon was a telephone, now you see two partial telephones.

I have 33 icons and about 24 icons have changed including the IE icon.

Kaspersky antivirus protection is always running, I perform malwarebytes.org protection daily and trendmicro weekly.

In your opinion, what could be causing the problem?

Thanks in advance.

Any changes that either happened or that you perhaps made to your computer around the time that the problem started; particularly any software or hardware that you installed or setup.

What operating system you're running, and its version.

Have you tried system restore to back to when this was not happening?

Try this:

Malwarebytes Anti-Malware review (http://www.2-spyware.com/review-malwarebytes-anti-malware.html)

Go to this site download the program and run it.

You could have some spyware, adware, or malware on your system that needs to be remove.
Also try running this in safe mode also to be on the safe side.
Also when you tried to do a system restore did you also try doing it in safe mode?
But for now lets see if you have any spyware on your system that made some changes.