I'm going to assume your using XP. What format is your desktop wallpaper in? Apparently, certain formats such as PNG may force the icons to be highlighed so a desirable wallpaper should be in JPEG. If it's not your wallpaper, I remember that (I'm on Vista atm so I'm a bit sketchy on this XP thing) if you right click on a blank space on your desktop, somewhere there should be lock web desktop icons or something like that. Try ticking or unticking that to see if it helps.