Start / Control Panel
Performance and Maintenance(if in Category View)
System / Advanced Tab
under Performance click on Settings / Visual Effects Tab
put a check next to "Use drop down shadows for icon labels on the desktop"
Apply / Ok
#Right-click My Computer.
#Click the Advanced tab in the resulting dialog.
#Click the Settings button in the Performance panel.
#Click the Visual Effects tab in the resulting dialog.
#Check the box beside 'Use drop down shadows for icon labels on the desktop'.
#Click OK, OK.
If this still doesn't work, right-click on the desktop >
point to Arrange Icons By >
and make sure that "Lock Web Items on Desktop" is un-checked.
If you have Desktop settings set to "Lock Desktop Items" you can't remove the background color.