It's a Windows XP bug... That happens (at least to me) when you right click an empty area in the desktop > Properties, save your current theme, switch to another one, and then switch back to the saved theme. In Windows XP SP2, it doesn't show that white box, but it's still not working correctly, take a look:
To fix it, click an empty area in the desktop > Properties, select the Windows XP default theme and click Apply. If you want to change the visual style, change it from the Appearance tab (or from StyleXP if you're using it).