Here u can see the screen shots having blue shade behind the icons.
This will occur due to the option " Lock web items on Desktop " enabled on your desktop.This is also one of the futures available in Windows XP .To remove this blue shade disable this option in the desktop.
Let's see how to do it with screen shots and description,
1. Right Click on your Desktop.
2. Go to " Arrange Icons By " then we will get sub menu and check for the option " Lock web items on Desktop " and
3. Disable it by clicking on it.
Finally u did it !