When you run Nautilus as
gksu nautilus or
gksudo nautilus), it considers
root's home directory (
/root) as the pertinent home directory, instead of your own home directory (
shawn is replaced by your actual username, if different).
That sort of thing does not happen when you run nongraphical commands as root in the usual way (i.e., with
sudo). This is the main difference between the default behaviors of
sudo and its graphical frontends like
gksudo, and it is for good reason, since it is common for graphical programs to create and maintain configuration files in the home directory (which would either be rendered unchangeable by the non-
root user and/or would provide a way for programs run as the non-
root user to create and modify configuration data altering the behavior of programs run as
root, both of which would be undesirable).
As mentioned above, if your username is
shawn, your home directory's full path is
/home/shawn. Your desktop folder is then
/home/shawn/Desktop. If you run Nautilus as
root and navigate to that folder, you'll see (and be able to access and manipulate) the files on your desktop.