ok, go through these things, usually they are what causes the text background not to be transparent..
1. using a background item or desktop item that uses a transparent image or an animated GIF image.
2. setting a web page as the active desktop.
3. enabling "Lock Web Items on Desktop".. i know you said that you already tried that option.. but perhaps you enabled it so there is a checkmark beside it.
go here for clearer information:
http://support.microsoft.com/default.aspx?scid=kb;en-us;305117
otherwise, i don't know what the problem could be at all
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