The question has been closed for the following reason "The question is answered, right answer was accepted" by trueb May 24 '12 at 20:20
Right click on My Computer and then click Properties.
In the System Properties dialog, click the advanced tab.
Under Performance, click Settings.
On the Visual Effects tab, make sure Use drop shadows for icon labels on the desktop is selected.
Click Ok, and then click Ok again.
answered May 16 '12 at 12:06
I think it's to do with the way Windows XP handles certain wallpapers. It doesn't show PNGs like it shows other image types - it renders them with Internet Explorer, and that puts these blue boxes there.
Try to choose a different wallpaper (JPG) and see if that makes a difference. If it does, save this wallpaper as a different type such as JPG
answered May 17 '12 at 13:06