Click on the Start button, select Control Panel

Check points:-
1. Under Performance and Maintenance/Adjust Visual Effects or if you're using the Classic
Theme - System/Advanced/Performance/Settings
"Use drop shadows for icon labels on the Desktop" - must be checked
2. Right-click the desktop, point to Arrange Icons By and make sure that Lock Web Items on
Desktop is un-checked;
3. If you have web content on your desktop, transparency doesn't work - Right click on
desktop. Select Properties, then open Desktop tab.
Click on the Customize Desktop button, then open the Web tab.
Uncheck everything in the Web Pages box
Press OK, then Apply, and maybe OK again.
4. You cannot have a html file as wallpaper, it must be an image file.
Sometimes it is necessary to reboot to take affect or to log off and log in again.