This symptom occurs if a background is specified or desktop item that uses Active Desktop has been added. Using a web page as active desktop, using a transparent or animated GIF image can cause this symptom. It also occurs when the Lock Web Items On Desktop option is enabled.
For more details, please refer to the following solution in Microsoft's technical support website.
Article ID: Q305117
Last Reviewed: August 10, 2001
Title: Background Transparency and Drop Shadows Do Not Display on Desktop Icons