Open System in Control Panel.
On the Advanced tab, under Performance, click Settings.
On the Visual Effects tab, click Custom.
Select the check box for those items you want to turn on. Clear the check
box for the items you want to turn off.
Note
To open System, click Start, point to Settings, click Control Panel, and
then double-click System.
As for what Item you want: Use Drop Shadows for Icon Labels on the Desktop
<- CHECK IT!
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