Take a look at your desktop. Do the labels on your icons have a colored box around them, or are they "transparent?" I've been asked this particular question by more customers than I can count. Fortunately, it's an easy issue to fix, just not very intuitive. There are two settings to check.
First, make sure Web Items on the desktop are unlocked.
* Right-click on the desktop, point to Arrange Icons By, then make sure Lock Web Items on Desktop is unchecked.
That alone might solve the problem. If it doesn't, there is one other setting to change.
1. On the Desktop, right-click on My Computer, then click Properties.
2. In the System Properties dialog, click the Advanced tab.
3. Under Performance, click Settings.
4. On the Visual Effects tab, make sure Use drop shadows for icon labels on the desktop is selected.
5. Click Ok, then click Ok again.
Now your icon labels will show a small drop shadow and no colored box.
http://weblogs.asp.net/expertzone/archive/2004/08/23/219040.aspx