Article updated on September 30, 2006

Control Panel, classic view:
Go to Control Panel. Double click with left mouse button on System icon. Go to advanced tab. Press settings in the performance pane.

Control Panel, category view:
Go to Control Panel. Left click on "Performance and Maintenance". Left click on "Adjust Visual Effects". A new window opens.

Find "Use drop shadows for icon labels on the desktop" option and make sure it is enabled. Left click Ok.