Four criteria must be met to have transparent text on your desktop icon.

1. Go to Start>> Right Click My Computer>> Properties>> Advanced tab>> Performance Settings>> Visual Effects tab.
The entry "use drop shadows for icon labels..." must be checked 

2. Right click any blank area of your desktop>> Arrange Icons by...>> The entry "Lock Web Items on Desktop" entry must be unchecked.

3. Having any web content on your desktop will not allow transparency to work. 

Here's how to check for web content:

Right click a blank area of your desktop>> Properties>> Desktop tab>> Customize Desktop button>> Web tab>> make sure all checkboxes are unchecked. 

4. Wallpaper must be an image file, not HTML.