If these were in his desk (and if he knows you go in there, if it's not private) then he wasn't hiding them from you. If he was trying to hide them they wouldn't be so easy to find now would they?
The fact is...he's broken the trust. Don't play games...don't stoop to that, I know it's somewhat tempting though. You need to calmly confront him. Let him know you've found them, that you've discussed this behavior before...he knows where you stand on it, and tell him what the consequences will be (whatever you're prepared to back up) for his continuing these actions.
You're going to have to put your foot down. I know this is an inconvenience to you...but if you have the internet at work (apparantly you do) have you thought about disconnecting it at home? Just a thought off of the top of my head...once it's hooked back up he may very well continue this behavior.
