As Mark had answered, the issue with the screenshots not saving to the desktop is that the OP was using the wrong keyboard shortcut. Command + CTRL + Shift + 4 does not save to the desktop... instead it saves to the clipboard.
A complete reference of screenshot commands is below, for those interested:
Saving to the desktop
Command-Shift-3: Take a screenshot of the screen, and save it as a file on the desktop
Command-Shift-4, then select an area: Take a screenshot of an area and save it as a file on the desktop
Command-Shift-4, then Space, then click a window: Take a screenshot of a window and save it as a file on the desktop
Saving to the clipboard
Command-Control-Shift-3: Take a screenshot of the screen, and save it to the clipboard
Command-Control-Shift-4, then select an area: Take a screenshot of an area and save it to the clipboard
Command-Control-Shift-4, then Space, then click a window: Take a screenshot of a window and save it to the clipboard