IMHO, desensitizing is a tool used to help gain emotional control. Like Crone and OVO said, desensitizing is something that should be begun on the ground in a controlled environment like a roundpen. That starts to establish the "rules" for how a horse is to react whenever they see something scary...though I think "rule" is the wrong word, it's more like developing a habit via trained response.
Once you have that little start, then you just build on it as you transition to riding...and eventually, riding in unfamiliar territory.
The problem with so many of those DVD trainers, they teach that desensitizing is "here, let me swing this rope all around you or drag a tarp over your head or bounce a big ball right beside you" and that's the end of it. So many people just desensitize the same things over and over and over until the horse just learns through boredom to ignore whatever action and zone out. Then, when something comes along that they can't ignore, they have a catastrophe because they've never been taught the proper emotional response and have never been shown what actions are permitted and which ones aren't.
It takes time and lots of riding in unfamiliar territory that is sometimes scary to build that ingrained emotional response.