Tap on the top right corner of the screen you want to make changes to. A little cog icon will appear.

Tap the cog.

Your background image will go fuxxy, and all the in-screen icons will show a little 'x' on their corner. To remove any icon from the screen, tap the x.

To add new icons/widgets/shortcuts and bookmarks, from this screen (With the tap the top bar (Named Desktop menu'. You can add more items, and also change the brackground or theme.

Some widgets will also show a little spanner in this view - that's how you alter their settings.

When you have finished, top right corner sayd 'done'. Tap that.

As for the new app showing a 'blue box' icon, when you install it to a desktop the apps own scon will be enabled. It will also show in the menu screen then too. (Note, if you have installed apps that are still under development, they may not have an icon yet!)