1. Open the Control Panel
2. Click System
3. Click the Advanced tab
4. Click Settings in the Performance section
5. Check the "Use drop shadows for icon labels on the desktop" checkbox
6. Click OK until you close the windows
Intuitive ain't it!
For a "from-the-horses-mouth" explanation as to "why" (but not as to "why-its-buried-out-there") see Raymond Chen's blog "The Old New Thing", episode -
http://blogs.msdn.com/oldnewthing/ar...08/177263.aspx
Convinced? Me neither!
PS: If you're using Win 9.x then Jay Guerette's "Transparent" is small and free - Google for 'Transparent' and 'Guerette', I think the last version was v4.2