Click Start, and then click Control Panel.
Click System.
On the Advanced tab, click Settings under Performance.
Tick the box "Use drop shadows for icon labels on the desktop" click Apply, and then click OK.
Close Control Panel.
Hope that works
[edit] also the thread you were looking for {i think its this one)
http://shoutbox.menthix.net/showthread.php?tid=40172&page=1