You can't, apparently, in default Windows XP.
You can work around it:
http://www.practicalpc.co.uk/computing/tips/011210.htm
and
http://support.microsoft.com/default...b;en-us;305117
1. Right Click on My Computer > Properties or Go to Start Menu > Settings > Control Panel > System
2. Click on Advanced Tab > Performance Settings
3. Select Custom
4. Check 'Use drop shadows for icon labels on desktop'
You might also look at
This
But I cannot vouch for it!
SD