Once they are properly configured you can have different applications on each desktop, as an organisational measure.
I have 4 desktops. On 1 I run web browser and download tools. On 2 I have my home directory and a text editor open. On 3 I have a Konsole with 3 tabs, and a window for my downloads directory. On 4 is where I have multimedia stuff, including xmms for MP3s and Xine or mplayer for watching movies.
This means I rarely have more than two windows open per desktop.
To change the desktop options you should be able to right-click on the desktop and select configure (I think).