Here's one thing to check:
1. Right-click My Computer and choose Properties. The System Properties dialog box opens.
2. Click the Advanced tab.
3. Under Performance, click Settings. The Performance Options dialog box opens.
4. On the Visual Effects tab, be sure the Use Drop Shadows For Icon Labels On The Desktop is checked. If this box is cleared (not checked), icon labels appear on a solid rectangular background (the symptom you have described). (This only applies to WIN XP.)