For XP Specifically:
1. Open the Control Panel
2. Click the "System" Icon
3. Choose the "Advanced" Tab
4. Under the "Performance" Section, click "Settings"
5. Now, here's the trick.
a. Locate the "Use drop shadows for icon labels on the desktop" Option
If the box is checked, then "un-check it" (turn it off), then click "OK"
b. Check the box (turn it on), then click "OK"
Voila
/Peter