Remove the blue color box around the icons in desktop in Windows XP

The border on the desktop icons will appear if the desktop items have been locked. To unlock the desktop web items, perform the following:
Right click on an empty area on the desktop and click to uncheck Lock web items on desktop if it has a little tick next to it.

If you do not have a tick mark on the Lock web items on desktop then perform the following steps to remove the blue color box around the icons in desktop.
1. Right click My Computer icon and click Properties.
2. Click on the Advanced tab.
3. Under Performance, click Settings button.
4. Under "Visual Effects" tab, tick the "Custom" radio button and in the box below it, scroll down and make sure the "Use drop shadows for icon labels on the desktop" is ticked.
5. Click Apply and then click OK.

This should remove the shadow border from your desktop icons.