Why are my Desktop Icons Highlighted in Blue?

Start / Control Panel
Performance and Maintenance(if in Category View)
System / Advanced Tab
under Performance click on Settings / Visual Effects Tab
put a check next to
"Use drop down shadows for icon labels on the desktop"
Apply / Ok

If this still doesn't work, right-click on the desktop >
point to Arrange Icons By >
and make sure that "Lock Web Items on Desktop" is un-checked.

If you have Desktop settings set to "Lock Desktop Items"
you can't remove the background color.
It can be checked here too,
Right click on desktop / Properties / Desktop Tab /
Customize Desktop button / Web Tab
and take the check out of "Lock Desktop Items"
Ok / Apply / Ok

Also, if you have ever right clicked on an item and clicked
"Set as desktop item..." then this may be the problem. You need to make
sure that they are not selected. Do this by going to Control Panel /
Display / Desktop tab / then selcting "Customize Desktop".
Click on the Web tab and make sure none are selected.

Best Ways...

Right click on the Desktop and select Arrange Icons By> make sure that a check mark is not by
Lock Web Items on Desktop.
Then right click on the Desktop and select Properties. Then click Desktop tab> Customize Desktop button> Web tab> make sure that nothing is checked in the Web pages: windows and that Lock web items is not checked.

Try this, right click on Desktop> Properties> Desktop tab> select a different background and then click Apply and OK. Go back to the Advanced tab as before and uncheck the box:
Use drop shadows for icon labels on the desktop.
Then go back and recheck the box and see if that works.

Start> Run> type: sysdm.cpl then hit OK.
Click on Advanced tab> Visual Effects tab, check the box:
Use drop shadows for icon labels on the desktop then OK, Apply and OK.