|Gio3211, Follow these instructions.|
Right click on an empty area of the desktop, go to 'Arrange Icons' and disable 'Lock Web Items on Desktop' if you have it checked.
Then go to your 'Control Panel', select 'System', go to the 'Advanced' tab and under 'Performance' click 'Settings'. There look for the 'Use drop shadows for icon labels on the desktop', and checkmark it by clicking the checkbox. click Apply/OK