Open File Explorer, navigate to C:\Users\<your name>. You'll see couple of folders here - Desktop, Documents, Music etc. Right-click on Desktop, Properties, Location. Now you can choose where physically the Desktop and its files are stored - you can move them to your HDD.
You can also go to Settings, System, Storage, scroll down to "More Storage Settings", and click on "Change where new content is stored". This will let you easy move other "system" folders around.